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Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models

Victor Aguirregabiria¹; Jesús M. Carro²

¹ University of Toronto, CEPR [email protected] · ² Universidad Carlos III de Madrid [email protected]

In nonlinear panel data models, fixed-effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. In contrast with that criticism, we prove the point identification of different AMEs, including causal effects of changes in the lagged dependent variable or the last choice's duration, in a panel dynamic logit model for T as small as three. Our proofs are constructive and provide simple closed-form expressions for the AMEs in terms of probabilities of choice histories. We illustrate our results using Monte Carlo experiments and with an empirical application of a dynamic model of consumer brand choice.

DOI

10.1162/rest_a_01521

Pages

1-46

Language

en

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