A COMPUTATIONALLY PRACTICAL SIMULATION ESTIMATION ALGORITHM FOR DYNAMIC PANEL DATA MODELS WITH UNOBSERVED ENDOGENOUS STATE VARIABLES
This article develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. Repeated sampling experiments on dynamic probit models with serially correlated errors indicate the estimator has good small sample...
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| Veröffentlicht in: | International economic review (Philadelphia) 2010-11, Vol.51 (4), p.925-958 |
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| container_end_page | 958 |
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| container_title | International economic review (Philadelphia) |
| container_volume | 51 |
| creator | Keane, Michael P. Sauer, Robert M. |
| description | This article develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. Repeated sampling experiments on dynamic probit models with serially correlated errors indicate the estimator has good small sample properties. We apply the estimator to a model of female labor supply and show that the rarely used Polya model fits the data substantially better than the popular Markov model. The Polya model also produces far less state dependence and many fewer race effects and much stronger effects of education, young children, and husband's income on female labor supply decisions. |
| doi_str_mv | 10.1111/j.1468-2354.2010.00606.x |
| format | Article |
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| ispartof | International economic review (Philadelphia), 2010-11, Vol.51 (4), p.925-958 |
| issn | 0020-6598 1468-2354 |
| language | eng |
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| source | EBSCOhost Business Source Complete; Access via Wiley Online Library; Jstor Complete Legacy |
| subjects | Algorithms Computational methods Data models Decision making Dynamic models Economic models Education Error rates Estimating techniques Estimation bias Female labour Females Labor economics Labor supply Labour supply Markov models Modeling Observed choices Parametric models Preliminary estimates Race Sampling bias Simulation Simulations Standard deviation Statistical models Studies |
| title | A COMPUTATIONALLY PRACTICAL SIMULATION ESTIMATION ALGORITHM FOR DYNAMIC PANEL DATA MODELS WITH UNOBSERVED ENDOGENOUS STATE VARIABLES |
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