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- Title
Panel conditional and multinomial logit with time-varying parameters.
- Authors
Lee, Myoung-jae
- Abstract
Panel conditional logit estimators (PCLE) in the literature use mostly time-constant parameters. If the panel periods are volatile or long, however, the model parameters can change much. Hence this paper generalizes PCLE with time-constant parameters to PCLE with time-varying parameters; both static and dynamic PCLE are considered for this. The main finding is that time-varying parameters are fully allowed for static PCLE and the dynamic 'pseudo' PCLE of [Bartolucci, F. and V. Nigro. 2010. 'A Dynamic Model for Binary Panel Data with Unobserved Heterogeneity Admitting a -Consistent Conditional Estimator.' Econometrica 78: 719-733] that are thus recommended to practitioners. As a further generalization, static 'panel conditional multinomial logit estimator (PML)' with time-varying parameters is also examined. As it turns out, time-varying parameters are also fully allowed for PML. With no error term serial correlation allowed in PCLE and dynamic PCLE's being restrictive in their assumptions, time-varying parameters provide an alternative avenue to inject dynamics and flexibility into PCLE and PML. Since PCLE and PML converge straightforwardly in computation, allowing time-varying parameters in PCLE and PML is 'computationally free.' A simulation study is also provided.
- Subjects
LOGITS; TIME-varying systems; PANEL analysis; ESTIMATION theory; ECONOMETRICS; NONLINEAR analysis
- Publication
Studies in Nonlinear Dynamics & Econometrics, 2015, Vol 19, Issue 3, p317
- ISSN
1081-1826
- Publication type
Article
- DOI
10.1515/snde-2014-0003