 Nonlinear State-Space Models for Microeconometric Panel DataNo 285, Computing in Economics and Finance 2006 from Society for Computational Economics Abstract: In applied microeconometric panel data analyses, time-constant random effects and first-order Markov chains are the most prevalent structures to account for intertemporal correlations in limited dependent variable models. An example from health economics shows that the addition of a simple autoregressive error terms leads to a more plausible and parsimonious model which also captures the dynamic features better. The computational problems encountered in the estimation of such models -- and a broader class formulated in the framework of nonlinear state space models -- hampers their widespread use. This paper discusses the application of different nonlinear filtering approaches developed in the time-series literature to these models and suggests that a straightforward algorithm based on sequential Gaussian quadrature can be expected to perform well in this setting. This conjecture is impressively confirmed by an extensive analysis of the example application. Keywords: State-Space Models; Microeconometric Panel Data; Multiple Integration (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:285 Access Statistics for this paper More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC. |
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