메뉴 건너뛰기




Volumn 150, Issue 1, 2009, Pages 71-85

Fixed effects estimation of structural parameters and marginal effects in panel probit models

Author keywords

Bias; Discrete choice models; Fixed effects; Incidental parameters problem; Labor force participation; Panel data; Probit

Indexed keywords

BIAS; DISCRETE CHOICE MODELS; FIXED EFFECTS; INCIDENTAL PARAMETERS PROBLEM; LABOR FORCE PARTICIPATION; PANEL DATA; PROBIT;

EID: 67349249882     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.02.007     Document Type: Article
Times cited : (153)

References (54)
  • 1
    • 0141718495 scopus 로고    scopus 로고
    • The time series and cross-section asymptotics of dynamic panel data estimators
    • Alvarez J., and Arellano M. The time series and cross-section asymptotics of dynamic panel data estimators. Econometrica 71 4 (2003) 1121-1159
    • (2003) Econometrica , vol.71 , Issue.4 , pp. 1121-1159
    • Alvarez, J.1    Arellano, M.2
  • 2
    • 0000368475 scopus 로고
    • Qualitative response models: A survey
    • Amemiya T. Qualitative response models: A survey. Journal of Economic Literature 19 4 (1981) 1483-1536
    • (1981) Journal of Economic Literature , vol.19 , Issue.4 , pp. 1483-1536
    • Amemiya, T.1
  • 4
    • 0035585156 scopus 로고    scopus 로고
    • Estimation of limited dependent variable models with dummy endogenous regressors: Simple strategies for empirical practice
    • Angrist J.D. Estimation of limited dependent variable models with dummy endogenous regressors: Simple strategies for empirical practice. Journal of Business and Economic Statistics 19 1 (2001) 2-16
    • (2001) Journal of Business and Economic Statistics , vol.19 , Issue.1 , pp. 2-16
    • Angrist, J.D.1
  • 5
    • 0001360838 scopus 로고    scopus 로고
    • Children and their parents' labor supply: Evidence from exogenous variation in family size
    • Angrist J.D., and Evans W.H. Children and their parents' labor supply: Evidence from exogenous variation in family size. American Economic Review 88 3 (1998) 450-477
    • (1998) American Economic Review , vol.88 , Issue.3 , pp. 450-477
    • Angrist, J.D.1    Evans, W.H.2
  • 6
    • 34547716434 scopus 로고    scopus 로고
    • Discrete choices with panel data
    • Arellano M. Discrete choices with panel data. Investigaciones Económicas XXVII 3 (2003) 423-458
    • (2003) Investigaciones Económicas , vol.XXVII , Issue.3 , pp. 423-458
    • Arellano, M.1
  • 7
    • 0347354943 scopus 로고    scopus 로고
    • Discrete choice panel data models with predetermined variables
    • Arellano M., and Carrasco R. Discrete choice panel data models with predetermined variables. Journal of Econometrics 115 1 (2003) 125-157
    • (2003) Journal of Econometrics , vol.115 , Issue.1 , pp. 125-157
    • Arellano, M.1    Carrasco, R.2
  • 9
    • 84924207387 scopus 로고    scopus 로고
    • Understading bias in nonlinear panel models: Some recent developments
    • Blundell R., Newey W.K., and Persson T. (Eds), Cambridge University Press, Cambridge
    • Arellano M., and Hahn J. Understading bias in nonlinear panel models: Some recent developments. In: Blundell R., Newey W.K., and Persson T. (Eds). Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Vol. 3 (2007), Cambridge University Press, Cambridge
    • (2007) Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Vol. 3
    • Arellano, M.1    Hahn, J.2
  • 10
    • 1842569355 scopus 로고    scopus 로고
    • Estimating distribution of counterfactuals with an application to the returns to schooling and measurement of the effect of uncertainty on schooling choice
    • Carneiro P., Hansen K., and Heckman J. Estimating distribution of counterfactuals with an application to the returns to schooling and measurement of the effect of uncertainty on schooling choice. International Economic Review 44 2 (2003) 361-422
    • (2003) International Economic Review , vol.44 , Issue.2 , pp. 361-422
    • Carneiro, P.1    Hansen, K.2    Heckman, J.3
  • 11
    • 34547666954 scopus 로고    scopus 로고
    • Estimating dynamic panel data discrete choice models with fixed effects
    • Carro J.M. Estimating dynamic panel data discrete choice models with fixed effects. Journal of Econometrics 140 2 (2007) 503-528
    • (2007) Journal of Econometrics , vol.140 , Issue.2 , pp. 503-528
    • Carro, J.M.1
  • 12
    • 0035603218 scopus 로고    scopus 로고
    • Binary choice with binary endogenous regressors in panel data: Estimating the effect of fertility on female labor participation
    • Carrasco R. Binary choice with binary endogenous regressors in panel data: Estimating the effect of fertility on female labor participation. Journal of Business and Economic Statistics 19 4 (2001) 385-394
    • (2001) Journal of Business and Economic Statistics , vol.19 , Issue.4 , pp. 385-394
    • Carrasco, R.1
  • 13
    • 38849161314 scopus 로고
    • Analysis of covariance with qualitative data
    • Chamberlain G. Analysis of covariance with qualitative data. Review of Economic Studies XLVII (1980) 225-238
    • (1980) Review of Economic Studies , vol.XLVII , pp. 225-238
    • Chamberlain, G.1
  • 14
    • 0001337803 scopus 로고
    • Panel data
    • Griliches Z., and Intriligator M. (Eds), North-Holland, Amsterdam
    • Chamberlain G. Panel data. In: Griliches Z., and Intriligator M. (Eds). Handbook of Econometrics, vol. 2 (1984), North-Holland, Amsterdam
    • (1984) Handbook of Econometrics, vol. 2
    • Chamberlain, G.1
  • 15
    • 0002427101 scopus 로고
    • Heterogeneity, omitted variable bias, and duration dependence
    • Heckman J.J., and Singer B. (Eds), Cambridge University Press
    • Chamberlain G. Heterogeneity, omitted variable bias, and duration dependence. In: Heckman J.J., and Singer B. (Eds). Longitudinal Analysis of Labor Market Data (1985), Cambridge University Press
    • (1985) Longitudinal Analysis of Labor Market Data
    • Chamberlain, G.1
  • 20
    • 84988058300 scopus 로고
    • Asymptotic properties of a conditional maximum-likelihood estimator
    • Ferguson H. Asymptotic properties of a conditional maximum-likelihood estimator. The Canadian Journal of Statistics 20 1 (1992) 63-75
    • (1992) The Canadian Journal of Statistics , vol.20 , Issue.1 , pp. 63-75
    • Ferguson, H.1
  • 21
    • 44749085134 scopus 로고    scopus 로고
    • The behavior of the fixed effects estimator in nonlinear models
    • Greene W.H. The behavior of the fixed effects estimator in nonlinear models. Econometrics Journal 7 (2004) 98-119
    • (2004) Econometrics Journal , vol.7 , pp. 98-119
    • Greene, W.H.1
  • 22
    • 23044524394 scopus 로고    scopus 로고
    • Comment: Binary regressors in nonlinear panel-data models with fixed effects
    • Hahn J. Comment: Binary regressors in nonlinear panel-data models with fixed effects. Journal of Business and Economic Statistics 19 1 (2001) 16-17
    • (2001) Journal of Business and Economic Statistics , vol.19 , Issue.1 , pp. 16-17
    • Hahn, J.1
  • 23
    • 0036077642 scopus 로고    scopus 로고
    • Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large
    • Hahn J., and Kuersteiner G. Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large. Econometrica 70 (2002) 1639-1657
    • (2002) Econometrica , vol.70 , pp. 1639-1657
    • Hahn, J.1    Kuersteiner, G.2
  • 24
    • 61849109071 scopus 로고    scopus 로고
    • Bias reduction for dynamic nonlinear panel models with fixed effects. UCLA
    • unpublished manuscript
    • Hahn, J., Kuersteiner, G., 2004. Bias reduction for dynamic nonlinear panel models with fixed effects. UCLA. unpublished manuscript
    • (2004)
    • Hahn, J.1    Kuersteiner, G.2
  • 26
    • 3142718410 scopus 로고    scopus 로고
    • Jackknife and analytical bias reduction for nonlinear panel models
    • Hahn J., and Newey W. Jackknife and analytical bias reduction for nonlinear panel models. Econometrica 72 (2004) 1295-1319
    • (2004) Econometrica , vol.72 , pp. 1295-1319
    • Hahn, J.1    Newey, W.2
  • 27
    • 0002275464 scopus 로고
    • The incidental parameters problem and the problem of initial conditions in estimating a discrete time-discrete data stochastic process
    • Manski C.F., and McFadden D. (Eds)
    • Heckman J.J. The incidental parameters problem and the problem of initial conditions in estimating a discrete time-discrete data stochastic process. In: Manski C.F., and McFadden D. (Eds). Structural Analysis of Discrete Panel Data with Econometric Applications (1981) 179-195
    • (1981) Structural Analysis of Discrete Panel Data with Econometric Applications , pp. 179-195
    • Heckman, J.J.1
  • 29
    • 84925980961 scopus 로고
    • Corrigendum on: A life cycle model of female labor supply
    • Heckman J.J., and MaCurdy T.E. Corrigendum on: A life cycle model of female labor supply. Review of Economic Studies 49 (1982) 659-660
    • (1982) Review of Economic Studies , vol.49 , pp. 659-660
    • Heckman, J.J.1    MaCurdy, T.E.2
  • 30
    • 0001736663 scopus 로고    scopus 로고
    • Panel data discrete choice models with lagged dependent variables
    • Honoré B.E., and Kyriazidou E. Panel data discrete choice models with lagged dependent variables. Econometrica 68 (2000) 839-874
    • (2000) Econometrica , vol.68 , pp. 839-874
    • Honoré, B.E.1    Kyriazidou, E.2
  • 31
    • 0036374633 scopus 로고    scopus 로고
    • Semiparametric binary choice panel data models without strictly exogenous regressors
    • Honoré B.E., and Lewbel A. Semiparametric binary choice panel data models without strictly exogenous regressors. Econometrica 70 (2002) 2053-2063
    • (2002) Econometrica , vol.70 , pp. 2053-2063
    • Honoré, B.E.1    Lewbel, A.2
  • 32
    • 0000281073 scopus 로고    scopus 로고
    • State dependence, serial correlation and heterogeneity in intertemporal labor force participation of married women
    • Hyslop D.R. State dependence, serial correlation and heterogeneity in intertemporal labor force participation of married women. Econometrica 67 6 (1999) 1255-1294
    • (1999) Econometrica , vol.67 , Issue.6 , pp. 1255-1294
    • Hyslop, D.R.1
  • 33
    • 3242671800 scopus 로고    scopus 로고
    • Bias in conditional and unconditional fixed effects logit estimation
    • Katz E. Bias in conditional and unconditional fixed effects logit estimation. Political Analysis 9 4 (2001) 379-384
    • (2001) Political Analysis , vol.9 , Issue.4 , pp. 379-384
    • Katz, E.1
  • 34
    • 0036655505 scopus 로고    scopus 로고
    • Orthogonal parameters and panel data
    • Lancaster T. Orthogonal parameters and panel data. Review of Economic Studies 69 (2002) 647-666
    • (2002) Review of Economic Studies , vol.69 , pp. 647-666
    • Lancaster, T.1
  • 35
    • 67349243078 scopus 로고    scopus 로고
    • Simple endogenous binary choice and selection panel model estimators. Boston College
    • unpublished manuscript
    • Lewbel, A., 2005. Simple endogenous binary choice and selection panel model estimators. Boston College. unpublished manuscript
    • (2005)
    • Lewbel, A.1
  • 36
    • 0001710703 scopus 로고
    • Semiparametric analysis of random effects linear models from binary panel data
    • Manski C. Semiparametric analysis of random effects linear models from binary panel data. Econometrica 55 (1987) 357-362
    • (1987) Econometrica , vol.55 , pp. 357-362
    • Manski, C.1
  • 37
    • 0002297105 scopus 로고
    • Conditional logit analysis of qualitative choice analysis
    • Zarembka (Ed), Academic Press, New York
    • McFadden D. Conditional logit analysis of qualitative choice analysis. In: Zarembka (Ed). Frontiers in Econometrics (1974), Academic Press, New York 105-142
    • (1974) Frontiers in Econometrics , pp. 105-142
    • McFadden, D.1
  • 39
    • 0002330888 scopus 로고
    • On the pooling of time series and cross section data
    • Mundlak Y. On the pooling of time series and cross section data. Econometrica 46 (1978) 69-85
    • (1978) Econometrica , vol.46 , pp. 69-85
    • Mundlak, Y.1
  • 40
    • 0002489122 scopus 로고
    • Experimental evidence on the estimation of dynamic economic relations from a time series of cross-sections
    • Nerlove M. Experimental evidence on the estimation of dynamic economic relations from a time series of cross-sections. Economic Studies Quarterly 18 (1967) 42-74
    • (1967) Economic Studies Quarterly , vol.18 , pp. 42-74
    • Nerlove, M.1
  • 41
    • 0000048264 scopus 로고
    • Further evidence on the estimation of dynamic economic relations from a time series of cross-sections
    • Nerlove M. Further evidence on the estimation of dynamic economic relations from a time series of cross-sections. Econometrica 39 (1971) 359-387
    • (1971) Econometrica , vol.39 , pp. 359-387
    • Nerlove, M.1
  • 42
    • 70350096085 scopus 로고
    • Large Sample Estimation and Hypothesis Testing
    • Engle R.F., and McFadden D.L. (Eds), Elsevier Science, Amsterdam North-Holland
    • Newey W.K., and McFadden D. Large Sample Estimation and Hypothesis Testing. In: Engle R.F., and McFadden D.L. (Eds). Handbook of Econometrics Vol. 4 (1994), Elsevier Science, Amsterdam North-Holland
    • (1994) Handbook of Econometrics , vol.4
    • Newey, W.K.1    McFadden, D.2
  • 43
    • 0001831031 scopus 로고
    • Consistent estimates based on partially consistent observations
    • Neyman J., and Scott E.L. Consistent estimates based on partially consistent observations. Econometrica 16 (1948) 1-32
    • (1948) Econometrica , vol.16 , pp. 1-32
    • Neyman, J.1    Scott, E.L.2
  • 44
    • 0000604269 scopus 로고
    • Biases in dynamic models with fixed effects
    • Nickell S. Biases in dynamic models with fixed effects. Econometrica 49 (1981) 1417-1426
    • (1981) Econometrica , vol.49 , pp. 1417-1426
    • Nickell, S.1
  • 45
    • 0001514642 scopus 로고    scopus 로고
    • Linear regression limit theory for nonstationary panel data
    • Phillips P.C.B., and Moon H.R. Linear regression limit theory for nonstationary panel data. Econometrica 67 (1999) 1057-1111
    • (1999) Econometrica , vol.67 , pp. 1057-1111
    • Phillips, P.C.B.1    Moon, H.R.2
  • 46
    • 0035998180 scopus 로고    scopus 로고
    • Efficiency of covariance matrix estimators for maximum likelihood estimation
    • Porter J. Efficiency of covariance matrix estimators for maximum likelihood estimation. Review of Business and Economic Statistics 20 3 (2002) 431-440
    • (2002) Review of Business and Economic Statistics , vol.20 , Issue.3 , pp. 431-440
    • Porter, J.1
  • 48
    • 0347568354 scopus 로고    scopus 로고
    • The second-order bias and mean squared error of nonlinear estimators
    • Rilstone P., Srivastava V.K., and Ullah A. The second-order bias and mean squared error of nonlinear estimators. Journal of Econometrics 75 (1996) 369-395
    • (1996) Journal of Econometrics , vol.75 , pp. 369-395
    • Rilstone, P.1    Srivastava, V.K.2    Ullah, A.3
  • 50
    • 0000695077 scopus 로고
    • Consistent estimation of scaled coefficients
    • Stoker T.M. Consistent estimation of scaled coefficients. Econometrica 54 (1986) 1461-1481
    • (1986) Econometrica , vol.54 , pp. 1461-1481
    • Stoker, T.M.1
  • 51
    • 0034373650 scopus 로고    scopus 로고
    • A Framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables
    • Wooldridge J. A Framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables. Economics Letters 68 (2001) 245-250
    • (2001) Economics Letters , vol.68 , pp. 245-250
    • Wooldridge, J.1
  • 54
    • 67349090693 scopus 로고    scopus 로고
    • Robustness against incidental parameters, University of Western Ontario
    • unpublished manuscript
    • Woutersen, T.M., 2002. Robustness against incidental parameters, University of Western Ontario. unpublished manuscript
    • (2002)
    • Woutersen, T.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.