| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16354 |
| DP16354 Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models | |
| Victor Aguirregabiria; Jesus Carro | |
| 发表日期 | 2021-07-12 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | In nonlinear panel data models, fixed effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. The common argument is that the identification of AMEs requires knowledge of the distribution of unobserved heterogeneity, but this distribution is not identified in a fixed effects model with a short panel. In this paper, we derive identification results that contradict this argument. In a panel data dynamic logic model, and for T as small as four, we prove the point identification of different AMEs, including causal effects of changes in the lagged dependent variable or in the duration in last choice. Our proofs are constructive and provide simple closed-form expressions for the AMEs in terms of probabilities of choice histories. We illustrate our results using Monte Carlo experiments and with an empirical application of a dynamic structural model of consumer brand choice with state dependence. |
| 主题 | Industrial Organization |
| 关键词 | Identification Average marginal effects Fixed effects models Panel data Dynamic discrete choice State dependence Dynamic demand of differentiated products |
| URL | https://cepr.org/publications/dp16354 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545317 |
| 推荐引用方式 GB/T 7714 | Victor Aguirregabiria,Jesus Carro. DP16354 Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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