EconPapers    
Economics at your fingertips  
 

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

Abstract: 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
Date: 2018-02
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://docs.dises.univpm.it/web/quaderni/pdf/426.pdf First version, 2018 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:426

Access Statistics for this paper

More papers in Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali Contact information at EDIRC.
Bibliographic data for series maintained by Maurizio Mariotti ().

 
Page updated 2019-10-11
Handle: RePEc:anc:wpaper:426