A Proposed Estimator for Dynamic Probit Models

Gao, Wei and Yao, Qiwei and Bergsman, Wicher (2013): A Proposed Estimator for Dynamic Probit Models.

Abstract

In this paper, new estimating methods proposed for dynamic and static probit models with panel data. Simulation studies show that the proposed estimators work relatively well.

• Item Type: MPRA Paper
• English Title: Proposed Estimators for Dynamic and Static Probit Models with Panel Data
• Language: English
• Keywords: Dynamic and static probit models; Panel data; Generalized Linear models
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General

References

Heckman, J.(1978) Simple statistical models for discrete panel data developed and applied to test the hypothesis of true state dependence against the hypothesis of spurious state dependence. Annales de l'lNSEE 30/31, 227-269.--The incidental parameters problem and the problem of initial conditions in estimating a discrete time-discrete data stochastic process. Structural Analysis of Discrete Data with Econometric Applications, ed by C. F. Manski and D. McFadden, p179-195. Cambridge, MA: MIT Press.