Estimation of random-effects dynamic probit models for panel data entailsthe so-called “initial conditions problem”. We argue that the relative finite-sample performance of the two main competing solutions is driven by themagnitude of the individual unobserved heterogeneity and/or of the statedependence in the data. We investigate our conjecture by means of a com-prehensive Monte Carlo experiment and offer useful indications for the practitioner.

Dynamic panel probit: finite-sample performance of alternative random-effects estimators

Riccardo Lucchetti;Claudia Pigini
2018

Abstract

Estimation of random-effects dynamic probit models for panel data entailsthe so-called “initial conditions problem”. We argue that the relative finite-sample performance of the two main competing solutions is driven by themagnitude of the individual unobserved heterogeneity and/or of the statedependence in the data. We investigate our conjecture by means of a com-prehensive Monte Carlo experiment and offer useful indications for the practitioner.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11566/288811
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