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Circumventing multiple integration : a comparison of GMM and SML estimators for the panel probit model
Inkmann, Joachim - 1997
more robust than SML when heteroskedasticity over time is ignored as well as in the presence of multiplicative … heteroskedasticity. An application to the product innovation activities of German manufacturing firms is presented. …
Persistent link: https://www.econbiz.de/10009675757
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Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators
Inkmann, Joachim - 1999
. The GMM estimators outperform SML in the presence of misspecification in terms of multiplicative heteroskedasticity. This … holds in particular for the three-stage GMM estimator. Allowing for heteroskedasticity over time increases the robustness … with respect to misspecification in terms of ultiplicative heteroskedasticity. An application to the product innovation …
Persistent link: https://www.econbiz.de/10011545114
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Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model
Inkmann, Joachim - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1997
more robust than SML when heteroskedasticity over time is ignored as well as in the presence of multiplicative … heteroskedasticity. An application to the product innovation activities of German manufacturing firms is presented. …
Persistent link: https://www.econbiz.de/10010958307
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Recursively Simulating Multinomial Multiperiod Probit Probabilities
Geweke, John; Keane, Michael; Runkle, David - Volkswirtschaftliche Fakultät, … - 1994
We describe how to recursively simulate choice probabilities in the multiperiod multinomial probit model using the GHK algorithm. We also provide GAUSS code to implement the method.
Persistent link: https://www.econbiz.de/10011113345
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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed initial conditions problem, as well as the...
Persistent link: https://www.econbiz.de/10010271244
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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed "initial conditions problem," as well as the...
Persistent link: https://www.econbiz.de/10003824296
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Semiparametric Inference in Dynamic Binary Choice Models
Norets, Andriy - 2012
We introduce an approach for semiparametric inference in dynamic binary choice models that does not impose distributional assumptions on the state variables unobserved by the econometrician. The proposed framework combines Bayesian inference with partial identification results. The method is...
Persistent link: https://www.econbiz.de/10013107321
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Applications of fractional response model to the study of bounded dependent variables in accounting research
Gallani, Susanna; Krishnan, Ranjani; Wooldridge, Jeffrey M. - 2015
Survey research studies make extensive use of rating scales to measure constructs of interest. The bounded nature of such scales presents econometric estimation challenges. Linear estimation methods (e.g. OLS) often produce predicted values that lie outside the rating scales, and fail to account...
Persistent link: https://www.econbiz.de/10011536090
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Spatial, Temporal, and Spatiotemporal Autoregressive Probit Models of Binary Outcomes : Estimation, Interpretation, and Presentation
Franzese, Robert J. - 2010
Spatial/Spatiotemporal interdependence - i.e., that the outcomes, actions, or choices of some unit-times depend on those of others - is substantively and theoretically ubiquitous and central in binary outcomes of interest across the social sciences. However, most empirical applications omit...
Persistent link: https://www.econbiz.de/10013140392
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A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables
Keane, Michael P. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed quot;initial conditions problem,quot; as well...
Persistent link: https://www.econbiz.de/10012764470