Simulation Estimation of Dynamic Panel Discrete Choice Models Using the $$t$$ t Distributions

Sheng-Kai Chang ()

Computational Economics, 2014, vol. 43, issue 4, 395-409

Abstract: In this paper a practical robust simulation estimator is proposed for the dynamic panel data discrete choice models using the $$t$$ t distribution. The maximum simulated likelihood estimators are obtained through a recursive algorithm formulated by Geweke–Hajivassiliou–Keane simulators. Monte Carlo experiments indicate that the proposed robust simulation estimators perform well under the errors with longer than normal tails for a small simulation size, even with the initial conditions problem. Copyright Springer Science+Business Media New York 2014

Keywords: Dynamic panel discrete choice models; Robust simulation estimation; GHK simulator; Initial conditions problem; C15; C23; C24 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10614-014-9425-z

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