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Simulation Estimation of Dynamic Panel Discrete Choice Models Using the $$t$$ t Distributions

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  • Sheng-Kai Chang

Abstract

In this paper a practical robust simulation estimator is proposed for the dynamic panel data discrete choice models using the $$t$$ t distribution. The maximum simulated likelihood estimators are obtained through a recursive algorithm formulated by Geweke–Hajivassiliou–Keane simulators. Monte Carlo experiments indicate that the proposed robust simulation estimators perform well under the errors with longer than normal tails for a small simulation size, even with the initial conditions problem. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Sheng-Kai Chang, 2014. "Simulation Estimation of Dynamic Panel Discrete Choice Models Using the $$t$$ t Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 395-409, April.
    • Handle: RePEc:kap:compec:v:43:y:2014:i:4:p:395-409
    DOI: 10.1007/s10614-014-9425-z
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    References listed on IDEAS

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    1. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
    2. Jeffrey M. Wooldridge, 2005. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 39-54, January.
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    4. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
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    6. Hahn, Jinyong, 2001. "The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 17(5), pages 913-932, October.
    7. Sheng‐Kai Chang, 2011. "Simulation estimation of two‐tiered dynamic panel Tobit models with an application to the labor supply of married women," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 854-871, August.
    8. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September.
    9. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
    10. Sheng-Kai Chang, 2012. "State dependence, serial correlation and heterogeneity in the union membership dynamics," Applied Economics, Taylor & Francis Journals, vol. 44(26), pages 3453-3460, September.
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    More about this item

    Keywords

    Dynamic panel discrete choice models; Robust simulation estimation; GHK simulator; Initial conditions problem; C15; C23; C24;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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