SpringerLink
Log in

Estimating Dynamic Binary Panel Data Model with Random Effects: A Computational Note

  • Published:
Computational Economics Aims and scope Submit manuscript

Abstract

Recently, Gao et al. (J Time Ser Anal, 2016 doi: 10.1111/jtsa.12178) propose a new estimation method for dynamic panel probit model with random effects, where the theoretical properties of estimator are derived. In this paper, we extend their estimation method to the \(T\ge 3\) case, and some Monte Carlo simulations are presented to illustrate the extended estimator.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Subscribe and save

Springer+ Basic
EUR 32.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or Ebook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Arellano, M., & Carrasco, R. (2003). Binary choice panel data models with predetermined variables. Journal of Econometrics, 115, 125–157.

    Article  Google Scholar 

  • Gao, W., Bergsma, W., & Yao, Q. W. (2016). Estimation for dynamic and static panel probit models with large individual effects. Journal of Time Series Analysis,. doi:10.1111/jtsa.12178.

    Google Scholar 

  • Heckman, J. (1981). The incidental parameters problem and the problem of initial conditions in estimating a discrete time-discrete data stochastic process. In C. F. Manski & D. McFadden (Eds.), Structural analysis of discrete data with econometric applications (pp. 179–195). Cambridge, MA: MIT Press.

    Google Scholar 

  • Honore, B., & Kyriazidou, E. (2000). Panel data discrete choice models with lagged dependent variables. Econometrica, 68, 839–874.

    Article  Google Scholar 

  • Hsiao, C. (2014). Analysis of panel data (3rd ed.). Cambridge: Cambridge University Press.

    Book  Google Scholar 

  • Hyslop, D. R. (1999). State dependence, serial correlation and heterogeneity in intertemporal labor force participation of married women. Econometrica, 67, 1255–1294.

    Article  Google Scholar 

  • Wooldridge, J. (2005). Simple solutions to the initial conditions problem in dynamic nonlinear panel data models with unobserved heterogeneity. Journal of Applied Econometrics, 20, 39–54.

    Article  Google Scholar 

Download references

Acknowledgments

The authors are very grateful to the Editor and two anonymous referees for helpful suggestions and insightful comments. We would like to acknowledge useful discussions with Professor Cheng Hsiao. This research is supported by the National Natural Science Foundation of China under Grants (Nos.71471030, 11471068, 71171035, 71173029, 71671070), MOE (Ministry of Education in China) Youth Foundation Project of Humanities and Social Sciences (No.13YJC790185), Liaoning Educational Committee Special Project of Humanities and Social Science Key Research Base (No. ZJ2013039) and China Postdoctoral Science Foundation (Nos. 2012M 511598, 2013T60710).

Author information

Authors and Affiliations

  1. Key Laboratory of Financial Analysis and Simulation, School of Finance, Center for Econometrics Analysis and Forecasting, Dongbei University of Finance and Economics, Dalian, 116025, Liaoning, People’s Republic of China

    Gang Yu

  2. Key Laboratory for Applied Statistics of MOE, School of Mathematics and Statistics, Northeast Normal University, Changchun, 130024, Jilin, People’s Republic of China

    Wei Gao

  3. School of Economics, Center for Econometrics Analysis and Forecasting, Dongbei University of Finance and Economics, Dalian, 116025, Liaoning, People’s Republic of China

    Weiguo Wang

  4. School of Economics, Huazhong University of Science and Technology, Wuhan, 430074, Hubei, People’s Republic of China

    Shao** Wang

Authors
  1. Gang Yu
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Wei Gao
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Weiguo Wang
    View author publications

    You can also search for this author in PubMed Google Scholar

  4. Shao** Wang
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Gang Yu.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Yu, G., Gao, W., Wang, W. et al. Estimating Dynamic Binary Panel Data Model with Random Effects: A Computational Note. Comput Econ 51, 535–539 (2018). https://doi.org/10.1007/s10614-016-9620-1

Download citation

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10614-016-9620-1

Keywords

Search

Navigation