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Semi-Nonparametric Estimation of Binary Choice Models Using Panel Data : an Application to the Innovative Activity of German Firms

Author

Listed:
  • François LAISNEY

    (Université Louis Pasteur, Strasbourg, and ZEW Mannheim)

  • Michael LECHNER

    (Universität Mannheim)

  • Winfried POHLMEIER

    (Universität Mannheim)

Abstract

François Laisney, Michael Lechner and Winfried Pohlmeier This paper presents an extension of Chamberlain's approach to modelling correlated random effects in a dichotomous model estimated on panel data. The extension consists in relaxing the arbitrary normality assumption made on all error terms and on specifying instead a SNP distribution for the composite error term resulting in each wave from Chamberlain's treatment of correlated random effects. An application to a panel of 1325 German firms illustrates the feasibility of the approach.

Suggested Citation

  • François LAISNEY & Michael LECHNER & Winfried POHLMEIER, 1992. "Semi-Nonparametric Estimation of Binary Choice Models Using Panel Data : an Application to the Innovative Activity of German Firms," Discussion Papers (REL - Recherches Economiques de Louvain) 1992035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  • Handle: RePEc:ctl:louvre:1992035
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    File URL: http://www.jstor.org/stable/40723998
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    Citations

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    Cited by:

    1. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
    2. Inkmann, Joachim, 1997. "Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model," Discussion Papers, Series II 339, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    3. Dietmar Harhoff, 1997. "Incentives to Innovate: A Structural Model of Oligopoly (available only in German!)," CIG Working Papers FS IV 97-09, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
    4. Melenberg, B. & van Soest, A.H.O., 1995. "Semiparametric estimation of equivalence scales using subjective information," Discussion Paper 1995-71, Tilburg University, Center for Economic Research.

    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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