Arbeitspapier
A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
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 more general problem of missing state variables during the sample period. Repeated sampling experiments on dynamic probit models with serially correlated errors indicate that the estimator has good small sample properties. We apply the estimator to a model of married women's labor force participation decisions. The results show that the rarely used Polya model, which is very difficult to estimate given missing data problems, fits the data substantially better than the popular Markov model. The Polya model implies far less state dependence in employment status than the Markov model. It also implies that observed heterogeneity in education, young children and husband income are much more important determinants of participation, while race is much less important.
- Language
-
Englisch
- Bibliographic citation
-
Series: IZA Discussion Papers ; No. 4054
- Classification
-
Wirtschaft
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
Fertility; Family Planning; Child Care; Children; Youth
Labor Force and Employment, Size, and Structure
- Subject
-
Initial conditions
missing data
simulation
female labor force participation
Panel
Probit-Modell
Schätztheorie
Statistischer Fehler
Simulation
Theorie
Schätzung
Frauenerwerbstätigkeit
Ehe
USA
- Event
-
Geistige Schöpfung
- (who)
-
Keane, Michael P.
Sauer, Robert M.
- Event
-
Veröffentlichung
- (who)
-
Institute for the Study of Labor (IZA)
- (where)
-
Bonn
- (when)
-
2009
- Handle
- URN
-
urn:nbn:de:101:1-20090327215
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Keane, Michael P.
- Sauer, Robert M.
- Institute for the Study of Labor (IZA)
Time of origin
- 2009
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Unobserved Delegation
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