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Bivariate dynamic probit models for panel data

  • Alfonso Miranda

    (Institute of Education, University of London)

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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File URL: http://fmwww.bc.edu/repec/msug2010/mex10sug_miranda.pdf
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Paper provided by Stata Users Group in its series Mexican Stata Users' Group Meetings 2010 with number 07.

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Date of creation: 10 Jun 2010
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Handle: RePEc:boc:msug10:07
Contact details of provider: Web page: http://www.stata.com/meeting/mexico10

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  1. 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.
  2. Francesco Devicienti & Ambra Poggi, 2011. "Poverty and social exclusion: two sides of the same coin or dynamically interrelated processes?," Applied Economics, Taylor & Francis Journals, vol. 43(25), pages 3549-3571.
  3. Keane, Michael P, 1992. "A Note on Identification in the Multinomial Probit Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 193-200, April.
  4. 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.
  5. Mosconi, Rocco & Seri, Raffaello, 2006. "Non-causality in bivariate binary time series," Journal of Econometrics, Elsevier, vol. 132(2), pages 379-407, June.
  6. Miranda, Alfonso, 2007. "Migrant Networks, Migrant Selection, and High School Graduation in Mexico," IZA Discussion Papers 3204, Institute for the Study of Labor (IZA).
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