A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables

Economics Letters

Volumn 68, Issue 3, 2000, Pages 245-250

  Wooldridge, Jeffrey M ^a  

^a MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

C33; Dynamic model; Initial conditions; Panel data; Unobserved effects

Indexed keywords

EID: 0034373650     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(00)00230-5     Document Type: Article

References (13)

1. Ahn S.C., Schmidt P. Efficient estimation of models for dynamic panel data. Journal of Econometrics. 68:1995;5-27.
2. Chamberlain G. Comment: Sequential moment restrictions in panel data. Journal of Business and Economic Statistics. 10:1992;20-26.
3. Chay, K.Y., Hyslop D., 1998, Identification and Estimation of Dynamic Binary Response Models: Empirical Evidence Using Alternative Approaches, U.C. Berkeley Center for Labor Economics Working Paper No. 5.
4. Gallant A.R., Nychka D.W. Semi-nonparametric maximum likelihood estimation. Econometrica. 55:1987;363-390.
5. Ham J.C., Lalonde R.J. The effect of sample selection and initial conditions in duration models: evidence from experimental data on training. Econometrica. 64:1996;175-205.
6. Heckman J.J. The incidental parameters problem and the problem of initial conditions in estimating a discrete time-discrete data stochastic process. Manski C.F., McFadden D. Structural Analysis of Discrete Data with Econometric Applications. 1981;179-195 MIT Press, Cambridge, MA.
7. Holtz-Eakin D., Newey W.K., Rosen H.S. Estimating vector autoregressions with panel data. Econometrica. 56:1988;1371-1395.
8. Hsiao C. Analysis of Panel Data. 1986;Cambridge University Press, Cambridge.
9. Keane M.P. Simulation estimation for panel data models with limited dependent variables. Maddala G.S., Rao C.R., Vinod H.D. Handbook of Statistics. Vol. 11:1993;545-571 North Holland, Amsterdam.
10. Manski C.F. Analog Estimation Methods in Econometrics. 1988;Chapman and Hall, New York.
11. Newey W.K., McFadden D. Large sample estimation and hypothesis testing. Engle R.F., McFadden D. Handbook of Econometrics. Vol. 4:1994;2111-2245 North Holland, Amsterdam.
12. Vella F., Verbeek M. Two-step estimation of panel data models with censored endogenous variables and selection bias. Journal of Econometrics. 90:1999;239-263.
13. Wooldridge J.M. Multiplicative panel data models without the strict exogeneity assumption. Econometric Theory. 13:1997;667-678.