论文标题
关于具有固定效果的二进制logit模型的有条件最大似然估计的存在
On the Existence of Conditional Maximum Likelihood Estimates of the Binary Logit Model with Fixed Effects
论文作者
论文摘要
通过利用McFadden（1974）对条件logit估计的结果，我们表明存在具有固定效果和数据点配置的二进制logit模型的存在与有条件最大似然估计的存在与有条件最大似然估计之间的一对一映射。我们的结果扩展了Albert and Anderson（1984）的横截面病例的结果，可用于构建一种简单的算法，该算法检测有限样本中的虚假估计值。作为例证，我们展示了一个人工数据集，该数据集为其stata的命令\ texttt {clogit}返回伪造的估计。
By exploiting McFadden (1974)'s results on conditional logit estimation, we show that there exists a one-to-one mapping between existence and uniqueness of conditional maximum likelihood estimates of the binary logit model with fixed effects and the configuration of data points. Our results extend those in Albert and Anderson (1984) for the cross-sectional case and can be used to build a simple algorithm that detects spurious estimates in finite samples. As an illustration, we exhibit an artificial dataset for which the STATA's command \texttt{clogit} returns spurious estimates.
