Sufficient Statistics for Markovian Feedback Processes and Unobserved Heterogeneity in Dynamic Panel Logit Models (opens in new tab)

In this paper, we examine identification in dynamic panel logit models with state dependence, a first-order Markov feedback process, and individual unobserved heterogeneity by introducing sufficient statistics for the feedback process and the unobserved heterogeneity. If a sequentially exogenous discrete covariate follows a first-order Markov process, identification via conditional likelihood is infeasible regardless of the time period. We a...