Sufficient Statistics for Markovian Feedback Processes and Unobserved Heterogeneity in Dynamic Panel Logit Models
动态面板 Logit 模型中马尔可夫反馈与不可观测异质性的充分统计量
In this paper, we examine identification in dynamic panel logit models with state dependence, a first-order Markov feedback process, and individual unobserved heterogeneity by introducing sufficient statistics for the feedback process and the unobserved heterogeneity. If a sequentially exogenous discrete covariate follows a first-order Markov process, identification via conditional likelihood is infeasible regardless of the time period. We also establish the failure of point…