Estimation for dynamic and static panel probit models with large individual effects

Wei Gao, Wicher Bergsma and Qiwei Yao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: For discrete panel data, the dynamic relationship between successive observations is often of interest. We consider a dynamic probit model for short panel data. A problem with estimating the dynamic parameter of interest is that the model contains a large number of nuisance parameters, one for each individual. Heckman proposed to use maximum likelihood estimation of the dynamic parameter, which, however, does not perform well if the individual effects are large. We suggest new estimators for the dynamic parameter, based on the assumption that the individual parameters are random and possibly large. Theoretical properties of our estimators are derived, and a simulation study shows they have some advantages compared with Heckman's estimator and the modified profile likelihood estimator for fixed effects.

Keywords: Dynamic probit regression; generalized linear models; panel data; probit models; static probit regression (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2017-03-01
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Time Series Analysis, 1, March, 2017, 38(2), pp. 266-284. ISSN: 0143-9782

Downloads: (external link)
http://eprints.lse.ac.uk/65165/ Open access version. (application/pdf)

Related works:
Journal Article: Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects (2017)
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:ehl:lserod:65165

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager (lseresearchonline@lse.ac.uk).