Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity
AbstractI study a simple, widely applicable approach to handling the initial conditions problem in dynamic, nonlinear unobserved effects models. Rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables, I propose finding the distribution conditional on the initial value (and the observed history of strictly exogenous explanatory variables). The approach is flexible, and results in simple estimation strategies for at least three leading dynamic, nonlinear models: probit, Tobit and Poisson regression. I treat the general problem of estimating average partial effects, and show that simple estimators exist for important special cases. Copyright © 2005 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 20 (2005)
Issue (Month): 1 ()
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Jeffrey M Wooldridge, 2002. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," CeMMAP working papers CWP18/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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