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Simulation estimation for panel data models with limited dependent variables

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  • Keane, Michael

Abstract

Simulation estimation in the context of panel data, limited dependent-variable (LDV) models poses formidable problems that are not present in the crosssection case. Nevertheless, a number of practical simulation estimation methods have been proposed and implemented for panel data LDV models. This paper surveys those methods and presents two empirical applications that illustrate their usefulness. These applications involve estimating temporal dependence in employment and wage data.

Suggested Citation

  • Keane, Michael, 1993. "Simulation estimation for panel data models with limited dependent variables," MPRA Paper 53029, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:53029
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    References listed on IDEAS

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    More about this item

    Keywords

    recursive importance sampling; GHK algorithm; discrete choice; panel data; simulation estimation;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation 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
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • J01 - Labor and Demographic Economics - - General - - - Labor Economics: General

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