A dynamic model for binary panel data with unobserved heterogeneity admitting a √n-consistent conditional estimator

Econometrica

Volumn 78, Issue 2, 2010, Pages 719-733

  Bartolucci, Francesco ^a   Nigro, Valentina ^b  

^a UNIVERSITY OF PERUGIA   (Italy)

^b UNIVERSITY OF ROME TOR VERGATA   (Italy)

Author keywords

Longitudinal data; Quadratic exponential distribution; State dependence

Indexed keywords

EID: 77954258420     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA7531     Document Type: Article

References (24)

1. Agresti A. Categorical Data Analysis 2002, Second Ed., New York, Wiley
2. Andersen E B. Asymptotic Properties of Conditional Maximum-Likelihood Estimators. Journal of Royal Statistical Society, Ser. B 1970, 32:283-301.
3. Arellano M, Honoré B. Panel Data Models: Some Recent Developments. Handbook of Econometrics 2001, Vol. V. Heckman J J, Leamer E. ed. by, Amsterdam, North-Holland
4. Barndorff-Nielsen O. Information and Exponential Families in Statistical Theory 1978, New York, Wiley
5. Bartolucci F, Nigro V. Supplement to 'A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a $\sqrt{n}$n-Consistent Conditional Estimator'. 2010, 78(Econometrica Supplemental Material). http://www.econometricsociety.org/ecta/Supmat/7531_data.pdf, http://www.econometricsociety.org/ecta/Supmat/7531_data and programs.zip
6. Carro J M. Estimating Dynamic Panel Data Discrete Choice Models With Fixed Effects. Journal of Econometrics 2007, 140:503-528.
7. Chamberlain G. Heterogeneity, Omitted Variable Bias, and Duration Dependence. Longitudinal Analysis of Labor Market Data 1985, Heckman J JSinger B. ed. by, Cambridge, Cambridge University Press
8. Chamberlain G. Feedback in Panel Data Models. 1993, Unpublished Manuscript, Department of Economics, Harvard University
9. Cox D R. The Regression Analysis of Binary Sequences. Journal of the Royal Statistical Society, Ser. B 1958, 20:215-242.
10. Cox D R. The Analysis of Multivariate Binary Data. Applied Statistics 1972, 21:113-120.
11. Diggle P J, Heagerty P J, Liang K-Y, Zeger S L. Analysis of Longitudinal Data 2002, Second Ed., New York, Oxford University Press
12. Hahn J, Newey W. Jackknife and Analytical Bias Reduction for Nonlinear Panel Models. Econometrica 2004, 72:1295-1319.
13. Heckman J J. Statistical Models for Discrete Panel Data. Structural Analysis of Discrete Data With Econometric Applications 1981, McFadden DManski C F. a, ed. by, Cambridge, MA, MIT Press
14. Heckman J J. Heterogeneity and State Dependence. Structural Analysis of Discrete Data With Econometric Applications 1981, McFadden DManski C F. b, ed. by, Cambridge, MA, MIT Press
15. Heckman J J. The Incidental Parameter Problem and the Problem of Initial Conditions in Estimating a Discrete Time-Discrete Data Stochastic Process. Structural Analysis of Discrete Data With Econometric Applications 1981, McFadden DManski C F. c, ed. by, Cambridge, MA, MIT Press
16. Honoré B E, Kyriazidou E. Panel Data Discrete Choice Models With Lagged Dependent Variables. Econometrica 2000, 68:839-874.
17. Honoré B E, Tamer E. Bounds on Parameters in Panel Dynamic Discrete Choice Models. Econometrica 2006, 74:611-629.
18. Hsiao C. Analysis of Panel Data 2005, Second Ed., New York, Cambridge University Press
19. Hyslop D R. State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force Participation of Married Women. Econometrica 1999, 67:1255-1294.
20. Magnac T. Panel Binary Variables and Sufficiency: Generalizing Conditional Logit. Econometrica 2004, 72:1859-1876.
21. Molenberghs G, Verbeke G. Meaningful Statistical Model Formulations for Repeated Measures. Statistica Sinica 2004, 14:989-1020.
22. Newey W K, McFadden D. Large Sample Estimation and Hypothesis Testing. Handbook of Econometrics 1994, Vol. 4. Engle R F, McFadden D L. ed. by, Amsterdam, North-Holland
23. Rasch G. On General Laws and the Meaning of Measurement in Psychology. Proceedings of the IV Berkeley Symposium on Mathematical Statistics and Probability 1961, Vol. 4:321-333. Berkeley, CA, University of California Press
24. Wooldridge J M. Econometric Analysis of Cross Section and Panel Data 2001, Cambridge, MA, MIT Press