摘要翻译：
研究了动态面板数据logit模型中结构参数的辨识和估计，其中决策是前瞻性的，未观察到的异质性和可观察到的状态变量的联合分布是非参数的，即固定效应模型。我们考虑具有两个内生状态变量的模型：滞后决策变量和最后选择的持续时间。这类模型包括一些重要的经济应用，如市场进入-退出模型、职业选择模型、机器替换模型、库存和投资决策模型，或差异化产品的动态需求模型。结构参数的识别需要一个足够的统计量来控制未观察到的异质性，不仅在当前效用中，而且在前瞻性决策问题的连续值中。利用条件似然方法，得到了结构参数的最小充分统计量，并证明了结构参数的可辨识性。我们将此估计量应用于一个机器替换模型。
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英文标题：
《Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic
  Logit Models》
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作者：
Victor Aguirregabiria, Jiaying Gu, and Yao Luo
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最新提交年份：
2018
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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：
  We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is nonparametric, i.e., fixed-effects model. We consider models with two endogenous state variables: the lagged decision variable, and the time duration in the last choice. This class of models includes as particular cases important economic applications such as models of market entry-exit, occupational choice, machine replacement, inventory and investment decisions, or dynamic demand of differentiated products. The identification of structural parameters requires a sufficient statistic that controls for unobserved heterogeneity not only in current utility but also in the continuation value of the forward-looking decision problem. We obtain the minimal sufficient statistic and prove identification of some structural parameters using a conditional likelihood approach. We apply this estimator to a machine replacement model.
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PDF链接：
https://arxiv.org/pdf/1805.04048