Panel conditional and multinomial logit with time-varying parameters

Research output: Contribution to journalArticlepeer-review


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 n $ 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.

Original languageEnglish
Pages (from-to)317-337
Number of pages21
JournalStudies in Nonlinear Dynamics and Econometrics
Issue number3
Publication statusPublished - 2015 Jun 1

Bibliographical note

Funding Information:
Acknowledgments: The author is grateful to Yoosoon Chang and two anonymous reviewers for their comments. The research for this paper has been supported by the National Research Foundation of Korea Grant funded by the Korean Government (NRF-2011-327-B00072).

Publisher Copyright:
© 2015 by De Gruyter.


  • binary choice
  • conditional logit
  • multinomial choice
  • panel data
  • time-varying parameters

ASJC Scopus subject areas

  • Analysis
  • Social Sciences (miscellaneous)
  • Economics and Econometrics


Dive into the research topics of 'Panel conditional and multinomial logit with time-varying parameters'. Together they form a unique fingerprint.

Cite this