 Abstract
This paper extends the conditional logit approach (Rasch, Andersen, Chamberlain) used in panel data models of binary variables with correlated fixed effects and strictly exogenous regressors. In a two-period two-state model, necessary and sufficient conditions on the joint distribution function of the individual-and-period specific shocks are given such that the sum of individual binary variables across time is a sufficient statistic for the individual effect. By extending a result of Chamberlain, it is shown that root-n consistent regular estimators can be constructed in panel binary models if and only if the property of sufficiency holds. In applied work, the estimation method amounts to quasi-differencing the binary variables as if they were continuous variables and transforming a panel data model into a cross-section model. Semiparametric approaches can then be readily applied. Copyright The Econometric Society 2004.
Authors:
Thierry MAGNAC
(2004)
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Panel Binary Variables and Sufficiency: Generalizing Conditional Logit
http://ideas.repec.org/a/ecm/emetrp/v72y2004i6p1859-1876.html
Panel Binary Variables and Sufficiency: Generalizing Conditional Logit
http://ideas.repec.org/p/lea/leawpi/0308.html
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