摘要翻译:
利用McFadden(1974)关于条件logit估计的结果,我们证明了具有固定效应的二元logit模型的条件极大似然估计的存在唯一性与数据点的配置之间存在一一映射。我们的结果推广了Albert和Anderson(1984)关于横截面情形的结果,并可用于建立一个在有限样本中检测虚假估计的简单算法。作为一个例子,我们展示了一个人造数据集,stata的命令\texttt{clogit}为其返回虚假的估计值。
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英文标题:
《On the Existence of Conditional Maximum Likelihood Estimates of the
Binary Logit Model with Fixed Effects》
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作者:
Martin Mugnier
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最新提交年份:
2020
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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英文摘要:
By exploiting McFadden (1974)'s results on conditional logit estimation, we show that there exists a one-to-one mapping between existence and uniqueness of conditional maximum likelihood estimates of the binary logit model with fixed effects and the configuration of data points. Our results extend those in Albert and Anderson (1984) for the cross-sectional case and can be used to build a simple algorithm that detects spurious estimates in finite samples. As an illustration, we exhibit an artificial dataset for which the STATA's command \texttt{clogit} returns spurious estimates.
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PDF链接:
https://arxiv.org/pdf/2009.09998