Simulation-based inference in dynamic panel probit models: An application to health

Paul Contoyannis (), Andrew Jones and Nigel Rice

Empirical Economics, 2004, vol. 29, issue 1, 49-77

Abstract: This paper considers the determinants of a binary indicator for the existence of functional limitations using seven waves (1991–1997) of the British Household Panel Survey (BHPS). The focal point of our analysis is the contributions of state dependence, heterogeneity and serial correlation in explaining the dynamics of health. To investigate these issues we apply static and dynamic panel probit models with flexible error structures. To estimate the models we use maximum simulated likelihood (MSL) with antithetic acceleration and implement a recently proposed test for the existence of asymptotic bias. The dynamic models show strong positive state dependence. Copyright Springer-Verlag 2004

Keywords: Health dynamics; simulation-based inference; binary choice panel data models; I1; C1 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (52)

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Working Paper: Simulation-based Inference in Dynamic Panel Probit Models: an Application to Health (2002)
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DOI: 10.1007/s00181-003-0189-x

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