Abstract
In this paper, I calculate the semiparametric information bound
in two dynamic panel data logit models with individual specific
effects. In such a model without any other regressors, it is
well known that the conditional maximum likelihood estimator
yields a √n-consistent estimator. In the case
where the model includes strictly exogenous continuous regressors,
Honoré and Kyriazidou (2000, Econometrica 68,
839–874) suggest a consistent estimator whose rate of
convergence is slower than √n. Information bounds
calculated in this paper suggest that the conditional maximum
likelihood estimator is not efficient for models without
any other regressor and that √n-consistent estimation
is infeasible in more general models.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
19 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献