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Bivariate dynamic probit models for panel data

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  • Alfonso Miranda

    (Institute of Education, University of London)

Abstract

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.

Suggested Citation

  • Alfonso Miranda, 2010. "Bivariate dynamic probit models for panel data," Mexican Stata Users' Group Meetings 2010 07, Stata Users Group.
    • Handle: RePEc:boc:msug10:07
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    File URL: http://fmwww.bc.edu/repec/msug2010/mex10sug_miranda.pdf
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    References listed on IDEAS

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    1. Clark, Andrew E. & Etile, Fabrice, 2006. "Don't give up on me baby: Spousal correlation in smoking behaviour," Journal of Health Economics, Elsevier, vol. 25(5), pages 958-978, September.
    2. Rob Alessie & Stefan Hochguertel & Arthur van Soest, 2004. "Ownership of Stocks and Mutual Funds: A Panel Data Analysis," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 783-796, August.
    3. 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.
    4. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521747387.
    5. Alfonso Miranda, 2011. "Chapter 8 Migrant Networks, Migrant Selection, And High School Graduation In México," Research in Labor Economics, in: Research in Labor Economics, pages 263-306, Emerald Group Publishing Limited.
    6. 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.
    7. Miranda, Alfonso, 2007. "Migrant Networks, Migrant Selection, and High School Graduation in Mexico," IZA Discussion Papers 3204, Institute of Labor Economics (IZA).
    8. 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.
    9. Mosconi, Rocco & Seri, Raffaello, 2006. "Non-causality in bivariate binary time series," Journal of Econometrics, Elsevier, vol. 132(2), pages 379-407, June.
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    Cited by:

    1. Ricardo Goncalves & Peter J. Simmons & Yuanyuan Xie, 2017. "Rebel with(out) a cause? Inter-generational smoking dependence in Chinese households," Discussion Papers 17/20, Department of Economics, University of York.
    2. Trinh, Long Q., 2016. "Dynamics of Innovation and Internationalization among Small and Medium-Sized Enterprises in Viet Nam," ADBI Working Papers 580, Asian Development Bank Institute.

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