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Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity

Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with... I study a simple, widely applicable approach to handling the initial conditions problem in dynamic, nonlinear unobserved effects models. Rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables, I propose finding the distribution conditional on the initial value (and the observed history of strictly exogenous explanatory variables). The approach is flexible, and results in simple estimation strategies for at least three leading dynamic, nonlinear models: probit, Tobit and Poisson regression. I treat the general problem of estimating average partial effects, and show that simple estimators exist for important special cases. Copyright © 2005 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Econometrics Wiley

Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity

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References (28)

Publisher
Wiley
Copyright
Copyright © 2005 John Wiley & Sons, Ltd.
ISSN
0883-7252
eISSN
1099-1255
DOI
10.1002/jae.770
Publisher site
See Article on Publisher Site

Abstract

I study a simple, widely applicable approach to handling the initial conditions problem in dynamic, nonlinear unobserved effects models. Rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables, I propose finding the distribution conditional on the initial value (and the observed history of strictly exogenous explanatory variables). The approach is flexible, and results in simple estimation strategies for at least three leading dynamic, nonlinear models: probit, Tobit and Poisson regression. I treat the general problem of estimating average partial effects, and show that simple estimators exist for important special cases. Copyright © 2005 John Wiley & Sons, Ltd.

Journal

Journal of Applied EconometricsWiley

Published: Jan 1, 2005

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