A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator
Francesco Bartolucci, Valentina Nigro
Econometrica · 2010 · Volume 78 · Issue 2
Abstract
A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of available covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. However, it has the advantage of being easily estimable via conditional likelihood with at least two observations (further to an initial observation) and even in the presence of time dummies among the regressors.
Keywords
Longitudinal data, quadratic exponential distribution, state dependence
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