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Simulation estimation for panel data models with limited dependent variables

Keane, Michael (1993): Simulation estimation for panel data models with limited dependent variables. Published in: Handbook of Statistics , Vol. 11, (1993): pp. 545-571.

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Abstract

Simulation estimation in the context of panel data, limited dependent-variable (LDV) models poses formidable problems that are not present in the crosssection case. Nevertheless, a number of practical simulation estimation methods have been proposed and implemented for panel data LDV models. This paper surveys those methods and presents two empirical applications that illustrate their usefulness. These applications involve estimating temporal dependence in employment and wage data.

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