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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Record type: Monograph (Discussion Paper)

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.

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Citation

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, 705).

More information

Published date: 1 August 2007
Keywords: initial conditions, missing data, discrete choice, simulation estimation

Identifiers

Local EPrints ID: 35074
URI: http://eprints.soton.ac.uk/id/eprint/35074
ISSN: 0966-4246
PURE UUID: 6be36d74-0ccb-447e-a68b-027004b4256d

Catalogue record

Date deposited: 19 May 2006
Last modified: 17 Jul 2017 15:48

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Contributors

Author: Robert Sauer
Author: Michael P. Keane

University divisions


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