Estimation for dynamic and static panel probit models with large individual effects

DOI10.1111/JTSA.12178MaRDI QIDQ2968468zbMATH OpenOpenAlexFDO

Authors

Publication date 16 March 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.7776, http://eprints.lse.ac.uk/65165/1/Bergsma%20Estimation%20for%20dynamic.pdf

zbMATH Keywords

panel dataprobit modelsgeneralized linear modelsdynamic probit regressionstatic probit regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: For discrete panel data, the dynamic relationship between successive observations is often of interest. We consider a dynamic probit model for short panel data. A problem with estimating the dynamic parameter of interest is that the model contains a large number of nuisance parameters, one for each individual. Heckman proposed to use maximum likelihood estimation of the dynamic parameter, which, however, does not perform well if the individual effects are large. We suggest new estimators for the dynamic parameter, based on the assumption that the individual parameters are random and possibly large. Theoretical properties of our estimators are derived and a simulation study shows they have some advantages compared to Heckman's estimator.

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Cites work

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Cited in

(9)

• Statistical inference in binary panel data model with cross-sectional dependence
• Estimating treatment effects in the presence of unobserved confounders
• Almost Consistent Estimation of Panel Probit Models with “Small” Fixed Effects
• Panel experiments and dynamic causal effects: A finite population perspective
• Convenient estimators for the panel probit model
• Efficiency in large dynamic panel models with common factors
• Estimating dynamic panel data discrete choice models with fixed effects
• ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
• On estimation of two-dimensional dynamic panel model with confounders

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• cquad

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