论文标题
进一步的结果是对具有固定效果的动态面板logit模型的估计
Further results on the estimation of dynamic panel logit models with fixed effects
论文作者
论文摘要
Kitazawa（2013，2016）表明，具有严格的外源协变量和固定效应的面板logit AR（1）模型中的常见参数可以使用矩-N速率估算，使用一般的矩方法。 Honoré和Weidner（2020）将其结果扩展到各个方向：他们找到了Logit AR（1）模型的其他时刻条件，并考虑了P> 1的Logit AR（P）模型的估算。 In this note we prove a conjecture in their paper and show that for given values of the initial condition, the covariates and the common parameters 2^{T}-2T of their moment functions for the logit AR(1) model are linearly independent and span the set of valid moment functions, which is a 2^{T}-2T-dimensional linear subspace of the 2^{T}-dimensional vector space of real valued {0,1}^{t}的结果y元素的功能。我们还证明，当{3,4,5}的p = 2和t元素分别有2^{t} -4（t-1）和2^{t} - （3T-2）面板logit AR（2）模型的线性独立矩函数，带有和无协方差。
Kitazawa (2013, 2016) showed that the common parameters in the panel logit AR(1) model with strictly exogenous covariates and fixed effects are estimable at the root-n rate using the Generalized Method of Moments. Honoré and Weidner (2020) extended his results in various directions: they found additional moment conditions for the logit AR(1) model and also considered estimation of logit AR(p) models with p>1. In this note we prove a conjecture in their paper and show that for given values of the initial condition, the covariates and the common parameters 2^{T}-2T of their moment functions for the logit AR(1) model are linearly independent and span the set of valid moment functions, which is a 2^{T}-2T-dimensional linear subspace of the 2^{T}-dimensional vector space of real valued functions over the outcomes y element of {0,1}^{T}. We also prove that when p=2 and T element of {3,4,5}, there are, respectively, 2^{T}-4(T-1) and 2^{T}-(3T-2) linearly independent moment functions for the panel logit AR(2) models with and without covariates.
