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Granger causality in dynamic binary short panel data models
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In this article, the conditions for a logit model formulation that takes into account feedback effects without specifying a joint parametric model for the outcome and predetermined explanatory variables are provided. But their results hold for short panels with a large number of cross-section units, a case of great interest in microeconomic applications.Abstract:
Strict exogeneity of covariates other than the lagged dependent variable, and conditional on unobserved heterogeneity, is often required for consistent estimation of binary panel data models. This assumption is likely to be violated in practice because of feedback effects from the past of the outcome variable on the present value of covariates and no general solution is yet available. In this paper, we provide the conditions for a logit model formulation that takes into account feedback effects without specifying a joint parametric model for the outcome and predetermined explanatory variables. Our formulation is based on the equivalence between Granger's definition of noncausality and a modification of the Sims' strict exogeneity assumption for nonlinear panel data models, introduced by Chamberlain1982 and for which we provide a more general theorem. We further propose estimating the model parameters with a recent fixed-effects approach based on pseudo conditional inference, adapted to the present case, thereby taking care of the correlation between individual permanent unobserved heterogeneity and the model's covariates as well. Our results hold for short panels with a large number of cross-section units, a case of great interest in microeconomic applications.read more
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A dynamic model for binary panel data with unobserved heterogeneity admitting a Vn-consistent conditional estimator
TL;DR: In this article, a model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of strictly exogenous covariates, and an economic interpretation of its assumptions, based on expectation about future outcomes, is provided.
Journal ArticleDOI
Pseudo Conditional Maximum Likelihood Estimation of the Dynamic Logit Model for Binary Panel Data
TL;DR: In this article, the dynamic logit model for binary panel data may be approximated by a quadratic exponential model, where simple sufficient statistics exist for the subject-specific parameters introduced to capture the unobserved heterogeneity between subjects.
References
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Report SeriesDOI
Initial conditions and moment restrictions in dynamic panel data models
Richard Blundell,Stephen Bond +1 more
TL;DR: In this paper, two alternative linear estimators that are designed to improve the properties of the standard first-differenced GMM estimator are presented. But both estimators require restrictions on the initial conditions process.
Journal ArticleDOI
Another look at the instrumental variable estimation of error-components models
Manuel Arellano,Olympia Bover +1 more
TL;DR: In this paper, a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables is presented. But the authors do not consider models with predetermined variables that have constant correlation with the effects.
Journal ArticleDOI
Large sample properties of generalized method of moments estimators
Book ChapterDOI
Investigating causal relations by econometric models and cross-spectral methods
TL;DR: In this article, it is shown that the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.