Dynamic panel probit: finite-sample performance of alternative random-effects estimators
Riccardo (Jack) Lucchetti () and
Claudia Pigini ()
No 426, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali
Estimation of random-effects dynamic probit models for panel data entails the so-called "initial conditions problem". We argue that the relative finitesample performance of the two main competing solutions is driven by the magnitude of the individual unobserved heterogeneity and/or of the state dependence in the data. We investigate our conjecture by means of a comprehensive Monte Carlo experiment and offer useful indications for the practitioner.
Keywords: Dynamic panel probit; panel data; Monte Carlo study (search for similar items in EconPapers)
JEL-codes: C23 C25 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:426
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