A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
AbstractThis 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. Keywords; initial conditions, missing data, discrete choice, simulation estimation
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Bibliographic InfoPaper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 0705.
Date of creation: 01 Aug 2007
Date of revision:
Other versions of this item:
- Michael P. Keane & Robert M. Sauer, 2010. "A Computationally Practical Simulation Estimation Algorithm For Dynamic Panel Data Models With Unobserved Endogenous State Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 51(4), pages 925-958, November.
- Michael P. Keane & Robert M. Sauer, 2010. "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," Working Papers 1008, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 05 Jul 2010.
- Robert M. Sauer & Michael P. Keane, 2004. "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," Econometric Society 2004 North American Summer Meetings 136, Econometric Society.
- Keane, Michael P. & Sauer, Robert M., 2009. "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," IZA Discussion Papers 4054, Institute for the Study of Labor (IZA).
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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