Estimated fixed effect binary choice models with long panels: a practical approach to the conditional logit model

G. C. Giannelli & J. Micklewright
In this paper we have presented a practical approach for consistent estimation of the binary choice logit model with long panels in the presence of unobserved fixed effects which may be correlated with observable. Our aim is to overcome the computational burden of the standard approach of CML estimation of the model which conditions on the minimal sufficient statistic, a burden which may result in estimation being quite inveasible in a really long panel. Our...