Testing for Choice Dynamics in Panel Data
比较了三种区分状态依赖与未观测异质性和序列相关的方法，发现同时包含滞后因变量和外生变量的模型效果最佳，并在六类产品中有五类证实了状态依赖的存在。
This article applies different approaches to distinguish state dependence from unobserved heterogeneity and serial correlation and, hence, test for state dependence in consumer brand choices. First, we apply a simple method proposed by Chamberlain, which involves lagged exogenous variables only. Second, we also estimate a lagged-dependent-variable specification proposed by Wooldridge. Third, we use the estimation approach suggested by Wooldridge to estimate a model with both lagged dependent and exogenous variables to distinguish between the two different sources of choice dynamics, state dependence and lagged effects of the exogenous variables. Our analysis reveals that the best approach is to use models with both lagged dependent and exogenous variables. Our findings include strong evidence for state dependence in five out of the six product categories studied in this article.