Simulation estimation for panel data models with limited dependent variables

Michael Keane ()

MPRA Paper from University Library of Munich, Germany

Abstract: Simulation estimation in the context of panel data, limited dependent-variable (LDV) models poses formidable problems that are not present in the crosssection case. Nevertheless, a number of practical simulation estimation methods have been proposed and implemented for panel data LDV models. This paper surveys those methods and presents two empirical applications that illustrate their usefulness. These applications involve estimating temporal dependence in employment and wage data.

Keywords: recursive importance sampling; GHK algorithm; discrete choice; panel data; simulation estimation (search for similar items in EconPapers)
JEL-codes: C15 C23 C25 C33 C35 J01 (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (76)

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