G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16354
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
URLhttps://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.
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