Bivariate dynamic probit models for panel data
In this talk, I will discuss the main methodological features of the bivariate dynamic probit model for panel data. I will present an example using simulated data, giving special emphasis to the initial conditions problem in dynamic models and the difference between true and spurious state dependence. The model is fit by maximum simulated likelihood.
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- Alessie, R.J.M. & Hochgürtel, S. & van Soest, A.H.O., 2004. "Ownership of stocks and mutual funds : A panel data analysis," Other publications TiSEM 471d7c77-905c-4d47-84b9-d, Tilburg University, School of Economics and Management.
- Francesco Devicienti & Ambra Poggi, 2011.
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- Francesco Devicienti & Ambra Poggi, 2007. "Poverty and social exclusion: two sides of the same coin or dynamically interrelated processes?," LABORatorio R. Revelli Working Papers Series 62, LABORatorio R. Revelli, Centre for Employment Studies.
- Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September.
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