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Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects

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  • Tata Subba Rao
  • Granville Tunnicliffe Wilson
  • Wei Gao
  • Wicher Bergsma
  • Qiwei Yao

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  • Tata Subba Rao & Granville Tunnicliffe Wilson & Wei Gao & Wicher Bergsma & Qiwei Yao, 2017. "Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 266-284, March.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:2:p:266-284
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    File URL: http://hdl.handle.net/10.1111/jtsa.12178
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    References listed on IDEAS

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    1. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-362, March.
    2. Manuel Arellano & Stéphane Bonhomme, 2009. "Robust Priors in Nonlinear Panel Data Models," Econometrica, Econometric Society, vol. 77(2), pages 489-536, March.
    3. Bartolucci, Francesco & Farcomeni, Alessio, 2009. "A Multivariate Extension of the Dynamic Logit Model for Longitudinal Data Based on a Latent Markov Heterogeneity Structure," Journal of the American Statistical Association, American Statistical Association, vol. 104(486), pages 816-831.
    4. Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 225-238.
    5. Manuel Arellano, 2003. "Discrete choices with panel data," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 423-458, September.
    6. Francesco Bartolucci & Valentina Nigro, 2010. "A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator," Econometrica, Econometric Society, vol. 78(2), pages 719-733, March.
    7. Tony Lancaster, 2002. "Orthogonal Parameters and Panel Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 69(3), pages 647-666.
    8. Lancaster, Tony, 2000. "The incidental parameter problem since 1948," Journal of Econometrics, Elsevier, vol. 95(2), pages 391-413, April.
    9. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
    10. 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.
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