Panel conditional and multinomial logit with time-varying parameters
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Myoung-jae | - |
dc.date.accessioned | 2021-09-04T15:19:07Z | - |
dc.date.available | 2021-09-04T15:19:07Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2015-06 | - |
dc.identifier.issn | 1081-1826 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/93306 | - |
dc.description.abstract | Panel conditional logit estimators (PCLE) in the literature use mostly time-constant parameters. If the panel periods are volatile or long, however, the model parameters can change much. Hence this paper generalizes PCLE with time-constant parameters to PCLE with time-varying parameters; both static and dynamic PCLE are considered for this. The main finding is that time-varying parameters are fully allowed for static PCLE and the dynamic "pseudo" PCLE of [Bartolucci, F. and V. Nigro. 2010. "A Dynamic Model for Binary Panel Data with Unobserved Heterogeneity Admitting a root n-Consistent Conditional Estimator." Econometrica 78: 719-733] that are thus recommended to practitioners. As a further generalization, static "panel conditional multinomial logit estimator (PML)" with time-varying parameters is also examined. As it turns out, time-varying parameters are also fully allowed for PML. With no error term serial correlation allowed in PCLE and dynamic PCLE's being restrictive in their assumptions, time-varying parameters provide an alternative avenue to inject dynamics and flexibility into PCLE and PML. Since PCLE and PML converge straightforwardly in computation, allowing time-varying parameters in PCLE and PML is "computationally free." A simulation study is also provided. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WALTER DE GRUYTER GMBH | - |
dc.subject | COEFFICIENT MODELS | - |
dc.subject | LONGITUDINAL DATA | - |
dc.subject | CHOICE | - |
dc.title | Panel conditional and multinomial logit with time-varying parameters | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Lee, Myoung-jae | - |
dc.identifier.doi | 10.1515/snde-2014-0003 | - |
dc.identifier.scopusid | 2-s2.0-84930026747 | - |
dc.identifier.wosid | 000354896100003 | - |
dc.identifier.bibliographicCitation | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, v.19, no.3, pp.317 - 337 | - |
dc.relation.isPartOf | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | - |
dc.citation.title | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | - |
dc.citation.volume | 19 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 317 | - |
dc.citation.endPage | 337 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.subject.keywordPlus | COEFFICIENT MODELS | - |
dc.subject.keywordPlus | LONGITUDINAL DATA | - |
dc.subject.keywordPlus | CHOICE | - |
dc.subject.keywordAuthor | binary choice | - |
dc.subject.keywordAuthor | conditional logit | - |
dc.subject.keywordAuthor | multinomial choice | - |
dc.subject.keywordAuthor | panel data | - |
dc.subject.keywordAuthor | time-varying parameters | - |
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