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Discrete Choices with Panel Data

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Author Info
Arellano, M.

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Abstract

This paper reviews the existing approaches to deal with panel data binary choice models with individual effects. Their relative strengths and weaknesses are discussed. Much theoretical and empirical research is needed in this area, and the paper points to several aspects that deserve further investigation. In particular, I illustrate the usefulness of asymptotic arguments in providing both approximately unbiased moment conditions, and approximations to sampling distributions for panels of different sample sizes.

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Publisher Info
Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 0101.

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Length: 35 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:fth:cemfdt:0101

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Related research
Keywords: PANEL DATA ; DISTRIBUTION ; BINARY CHOICE;

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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Bo E. Honore & Arthur Lewbel, 2002. "Semiparametric Binary Choice Panel Data Models Without Strictly Exogeneous Regressors," Econometrica, Econometric Society, vol. 70(5), pages 2053-2063, September. [Downloadable!] (restricted)
    Other versions:
  2. Alvarez, J. & Arellano, M., 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Papers 9808, Centro de Estudios Monetarios Y Financieros-.
    Other versions:
  3. Arellano, Manuel & Honore, Bo, 2001. "Panel data models: some recent developments," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 53, pages 3229-3296 Elsevier. [Downloadable!] (restricted)
    Other versions:
  4. Olympia Bover & Manuel Arellano, 1997. "Estimating limited dependent variable models from panel data," Investigaciones Economicas, Fundación SEPI, vol. 21(2), pages 141-166, May. [Downloadable!]
  5. Arellano, Manuel & Carrasco, Raquel, 2003. "Binary choice panel data models with predetermined variables," Journal of Econometrics, Elsevier, vol. 115(1), pages 125-157, July. [Downloadable!] (restricted)
    Other versions:
  6. Bo E. Honoré & Ekaterini Kyriazidou, 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 68(4), pages 839-874, July.
  7. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
  8. Lancaster, Tony, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Blackwell Publishing, vol. 69(3), pages 647-66, July.
  9. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-82, November. [Downloadable!] (restricted)
  10. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July. [Downloadable!] (restricted)
  11. Tiemen Woutersen, 2001. "Robustness Against Incidental Parameters and Mixing Distributions," UWO Department of Economics Working Papers 200110, University of Western Ontario, Department of Economics. [Downloadable!]
  12. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 225-38, January. [Downloadable!] (restricted)
  13. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January. [Downloadable!] (restricted)
  14. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-62, March. [Downloadable!] (restricted)
  15. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May. [Downloadable!] (restricted)
  16. Dean R. Hyslop, 1999. "State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force Participation of Married Women," Econometrica, Econometric Society, vol. 67(6), pages 1255-1294, November.
  17. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier. [Downloadable!] (restricted)
  18. Carro, Jesus M., 2007. "Estimating dynamic panel data discrete choice models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 503-528, October. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Javier Alvarez & Manuel Arellano, 2004. "Robust Likelihood Estimation Of Dynamic Panel Data Models," Working Papers wp2004_0421, CEMFI. [Downloadable!]
  2. Laura Hospido, 2007. "Modelling heterogeneity and dynamics in the volatility of individual wages," Banco de España Working Papers 0738, Banco de España. [Downloadable!]
    Other versions:
  3. Martin Browning & Jesus Carro, 2006. "Heterogeneity in dynamic discrete choice models," Economics Series Working Papers 287, University of Oxford, Department of Economics. [Downloadable!]
  4. Mª Luz González Alvarez & Antonio Clavero Barranquero, 2008. "An analysis of income-related inequalities in the health care use by dynamic models," Hacienda Pública Española, IEF, vol. 186(3), pages 9-42, October. [Downloadable!]
  5. Gabriel Jiménez Zambrano, 2005. "Modified maximum likelihood estimation of Tobit models with fixed effects: theory and an application to earnings equations," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 575-607, September. [Downloadable!]
  6. Manuel Arellano & Stephane Bonhomme, 2006. "Robust Priors In Nonlinear Panel Data Models," Working Papers wp2006_0614, CEMFI. [Downloadable!]
    Other versions:
  7. Alban Thomas, 2002. "Consistent estimation of discrete-choice models for panel data with multiplicative effects," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D6-2, International Conferences on Panel Data. [Downloadable!]
  8. Manuel Arellano & Jinyong Hahn, 2005. "Understanding Bias In Nonlinear Panel Models: Some Recent Developments," Working Papers wp2005_0507, CEMFI. [Downloadable!]
  9. Juan Monterrey & Amparo Sánchez-Segura, 2006. "Las características socioeconómicas como incentivos para la información financiera: evidencia empírica española," Investigaciones Economicas, Fundación SEPI, vol. 30(3), pages 611-634, September. [Downloadable!]
  10. Matilde P. Machado, 2003. "A Consistent Estimator For The Binomial Distribution In The Presence Of "Incidental Parameters": An Application To Patent Data," Economics Working Papers we031905, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    Other versions:
  11. Bryan S. Graham & James Powell, 2008. "Identification and Estimation of 'Irregular' Correlated Random Coefficient Models," NBER Working Papers 14469, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. César Calderón & Klaus Schmidt Hebbel, 2008. "Choosing an Exchange Rate Regime," Working Papers Central Bank of Chile 494, Central Bank of Chile. [Downloadable!]
  13. César Calderón & Klaus Schmidt-Hebbel, 2008. "What drives the Choice of Money-based Targets in the World?," Working Papers Central Bank of Chile 479, Central Bank of Chile. [Downloadable!]
  14. César Calderón & Klaus Schmidt-Hebbel, 2008. "The Choice of Fiscal Regimes in the World," Working Papers Central Bank of Chile 487, Central Bank of Chile. [Downloadable!]
  15. Martin Browning & Jesus Carro, 2006. "Heterogeneity and Microeconometrics Modelling," CAM Working Papers 2006-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
  16. Josep Pijoan-Mas, 2003. "Precautionary Savings Or Working Longer Hours?," Working Papers wp2003_0311, CEMFI. [Downloadable!]
    Other versions:
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