Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data
二元面板动态 Logit 模型的伪条件极大似然估计
We show how the dynamic logit model for binary panel data may be approximated by a quadratic exponential model. Under the approximating model, simple sufficient statistics exist for the subject-specific parameters introduced to capture the unobserved heterogeneity between subjects. The latter must be distinguished from the state dependence which is accounted for by including the lagged response variable among the regressors. By conditioning on the sufficient statistics, we…