A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Sauer, Robert and Keane, Michael P. (2007) A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables. Southampton, UK, University of Southampton, 62pp. (Discussion Papers in Economics and Econometrics, 0705).
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This paper develops a new simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can deal with the commonly encountered and widely discussed ``initial conditions problem,'' as well as the more general problem of missing state variables at any point during the sample period.
Repeated sampling experiments on a dynamic panel data probit model with serially correlated errors indicate that the estimator has good small sample properties and is computationally practical for use with panels of the size that are likely to be encountered in practice.
|Item Type:||Monograph (Discussion Paper)|
|Keywords:||initial conditions, missing data, discrete choice, simulation estimation|
|Subjects:||H Social Sciences > HA Statistics
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
|Divisions:||University Structure - Pre August 2011 > School of Social Sciences > Economics
|Date Deposited:||19 May 2006|
|Last Modified:||28 Jun 2012 10:20|
|Contributors:||Sauer, Robert (Author)
Keane, Michael P. (Author)
|Date:||1 August 2007|
|Publisher:||University of Southampton|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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