TITLE:
Hyperbolic Transformation and Average Elasticity in the Framework of the Fixed Effects Logit Model
AUTHORS:
Yoshitsugu Kitazawa
KEYWORDS:
Fixed Effects Logit; Conditional Logit Estimator; Hyperbolic Transformation; Moment Conditions; GMM; Monte Carlo Experiments; Average Elasticity
JOURNAL NAME:
Theoretical Economics Letters,
Vol.2 No.2,
May
23,
2012
ABSTRACT: In this paper, a simple transformation is proposed for the fixed effects logit model, which constructs some valid moment conditions including the first-order condition for one of the conditional MLE proposed by Chamberlain (1980) [1]. Some Monte Carlo experiments are carried out for the GMM estimator based on the transformation. In addition, the average elasticity of the logit probability with respect to the exponential function of explanatory variable is proposed in the framework of the fixed effects logit model, which is computable without the fixed effects.