arXiv subjects

Bo E. Honoré

Publications and source records attributed to Bo E. Honoré.

5 recordsLinked to original sources

arXiv2026

Dynamic Panel Multinomial Logit Models

This paper provides moment conditions for dynamic multinomial logit panel data models with individual specific fixed effects. The moment conditions do not depend on the fixed effects and thus form the basis for generalized method of moments estimation. For a leading case, we provide sufficient conditions under which the moment conditions identify the common parameters, and we illustrate their use in an empirical application to household soft drink purchases. The construction of moment conditions is based on transformed models obtained by permuting outcomes across time periods. For any cyclic permutation, the ratio of the transformed model probability to the true model probability is free of the fixed effects, and comparing two such ratios yields restrictions on the common parameters of interest. This construction is not specific to the multinomial logit. It applies to any dynamic panel data model whose static counterpart admits a symmetric sufficient statistic for the fixed effects. This unifies our main result with analogous results for other models.

econ.EM↗

arXiv2025

Binary choice logit models with general fixed effects for panel and network data

This paper systematically analyzes and reviews identification strategies for binary choice logit models with fixed effects in panel and network data settings. We examine both static and dynamic models with general fixed-effect structures, including individual effects, time trends, and two-way or dyadic effects. A key challenge is the incidental parameter problem, which arises from the increasing number of fixed effects as the sample size grows. We explore two main strategies for eliminating nuisance parameters: conditional likelihood methods, which remove fixed effects by conditioning on sufficient statistics, and moment-based methods, which derive fixed-effect-free moment conditions. We demonstrate how these approaches apply to a variety of models, summarizing key findings from the literature while also presenting new examples and new results.

econ.EM↗

arXiv2024

Dynamic Ordered Panel Logit Models

This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The availability of moment conditions suggests that these common parameters can be estimated using the generalized method of moments, and the paper documents the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.

econ.EM↗

arXiv2023

Moment Conditions for Dynamic Panel Logit Models with Fixed Effects

This paper investigates the construction of moment conditions in discrete choice panel data with individual specific fixed effects. We describe how to systematically explore the existence of moment conditions that do not depend on the fixed effects, and we demonstrate how to construct them when they exist. Our approach is closely related to the numerical "functional differencing" construction in Bonhomme (2012), but our emphasis is to find explicit analytic expressions for the moment functions. We first explain the construction and give examples of such moment conditions in various models. Then, we focus on the dynamic binary choice logit model and explore the implications of the moment conditions for identification and estimation of the model parameters that are common to all individuals.

econ.EM↗

arXiv2023

Simultaneity in Binary Outcome Models with an Application to Employment for Couples

Two of Peter Schmidt's many contributions to econometrics have been to introduce a simultaneous logit model for bivariate binary outcomes and to study estimation of dynamic linear fixed effects panel data models using short panels. In this paper, we study a dynamic panel data version of the bivariate model introduced in Schmidt and Strauss (1975) that allows for lagged dependent variables and fixed effects as in Ahn and Schmidt (1995). We combine a conditional likelihood approach with a method of moments approach to obtain an estimation strategy for the resulting model. We apply this estimation strategy to a simple model for the intra-household relationship in employment. Our main conclusion is that the within-household dependence in employment differs significantly by the ethnicity composition of the couple even after one allows for unobserved household specific heterogeneity.

econ.EM↗