Testing for State Dependence with Time-Variant Transition Probabilities
推导出一个简单方法，用于在动态Logit模型中检验状态依赖性，允许转移概率随时间变化且未观测异质性分布任意。蒙特卡洛模拟显示该检验在模型假设部分违背时仍表现良好，并讨论了忽略时间依赖性的可接受范围。
We derive a simple result that allows us to test for the presence of state dependence in a dynamic Logit model with time-variant transition probabilities and an arbitrary distribution of the unobserved heterogeneity. Monte Carlo evidence suggests that this test has desirable properties even when there are some violations of the model's assumptions. We also consider alternative tests that will have desirable properties only when the transition probabilities do not depend on time and provide evidence that there is an “acceptable” range in which ignoring time-dependence does not matter too much. We conclude with an application to the Barker Hypothesis.