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Bayesian Spatial Bivariate Panel Probit Estimation

In: Spatial Econometrics: Qualitative and Limited Dependent Variables

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  • Badi H. Baltagi
  • Peter H. Egger
  • Michaela Kesina

Abstract

This paper formulates and analyzes Bayesian model variants for the analysis of systems of spatial panel data with binary-dependent variables. The paper focuses on cases where latent variables of cross-sectional units in an equation of the system contemporaneously depend on the values of the same and, eventually, other latent variables of other cross-sectional units. Moreover, the paper discusses cases where time-invariant effects are exogenous versus endogenous. Such models may have numerous applications in industrial economics, public economics, or international economics. The paper illustrates that the performance of Bayesian estimation methods for such models is supportive of their use with even relatively small panel data sets.

Suggested Citation

  • Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2016. "Bayesian Spatial Bivariate Panel Probit Estimation," Advances in Econometrics, in: Spatial Econometrics: Qualitative and Limited Dependent Variables, volume 37, pages 119-144, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-905320160000037011
    DOI: 10.1108/S0731-905320160000037011
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    Cited by:

    1. Baltagi, Badi H. & Egger, Peter H. & Kesina, Michaela, 2017. "Determinants of firm-level domestic sales and exports with spillovers: Evidence from China," Journal of Econometrics, Elsevier, vol. 199(2), pages 184-201.
    2. Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2022. "Bayesian estimation of multivariate panel probits with higher‐order network interdependence and an application to firms' global market participation in Guangdong," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1356-1378, November.

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    More about this item

    Keywords

    Spatial econometrics; panel probit; multivariate probit; C11; C31; C35;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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