Record number :
Title of article :
Estimating dynamic panel data discrete choice models with fixed effects
Author/Authors :
Carro، نويسنده , , Jesus M.، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2007
Pages :
From page :
To page :
Abstract :
This paper considers the estimation of dynamic binary choice panel data models with fixed effects. It is shown that the modified maximum likelihood estimator (MMLE) used in this paper reduces the order of the bias in the maximum likelihood estimator from O ( T - 1 ) to O ( T - 2 ) , without increasing the asymptotic variance. No orthogonal reparametrization is needed. Monte Carlo simulations are used to evaluate its performance in finite samples where T is not large. In probit and logit models containing lags of the endogenous variable and exogenous variables, the estimator is found to have a small bias in a panel with eight periods. A distinctive advantage of the MMLE is its general applicability. Estimation and relevance of different policy parameters of interest in this kind of models are also addressed.
Keywords :
Panel data , Dynamic discrete choice , fixed effects , Modified MLE
Journal title :
Journal of Econometrics
Serial Year :
Link To Document :