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A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables

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Author Info
Robert M. Sauer
Michael P. Keane

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Abstract

This paper develops a new simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can deal with the commonly encountered and widely discussed ``initial conditions problem,'' as well as the more general problem of missing state variables at any point during the sample period. Repeated sampling experiments on a dynamic panel data probit model with serially correlated errors indicate that the estimator has good small sample properties and is computationally practical for use with panels of the size that are likely to be encountered in practice

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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 136.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:136

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Related research
Keywords: Initial Conditions; Missing Data; Simulation Estimation;

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

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  2. Antonio Merlo & Kenneth I. Wolpin, 2008. "The Transition from School to Jail: Youth Crime and High School Completion Among Black Males," PIER Working Paper Archive 08-033, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
  3. Michael P. Keane & Robert M. Sauer, 2006. "Classification Error in Dynamic Discrete Choice Models: Implications for Female Labor Supply Behavior," IZA Discussion Papers 2332, Institute for the Study of Labor (IZA). [Downloadable!]
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  4. Murat G. Kirdar, 2005. "Return Migration and Saving Behavior of Foreign Workers in Germany," ERC Working Papers 0506, ERC - Economic Research Center, Middle East Technical University, revised Nov 2005. [Downloadable!]
  5. Murat G. Kirdar, 2004. "An Estimable Dynamic Model of Asset Accumulation and Return Migration," ERC Working Papers 0416, ERC - Economic Research Center, Middle East Technical University, revised Dec 2004. [Downloadable!]
  6. Antonio Merlo & Kenneth I. Wolpin, 2008. "The Transition from School to Jail: Youth Crime and High School Completion Among Black Males, Second Version," PIER Working Paper Archive 09-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 16 Jan 2009. [Downloadable!]
  7. Kirdar, Murat G., 2008. "Estimating the impact of immigrants on the host country social security system when return migration is an endogenous choice," MPRA Paper 7803, University Library of Munich, Germany. [Downloadable!]
  8. Daniela Del Boca & Robert M. Sauer, 2006. "Life Cycle Employment and Fertility Across Institutional Environments," Carlo Alberto Notebooks 20, Collegio Carlo Alberto. [Downloadable!]
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