格林 面板数据讲义-16.pptVIP

Econometric Analysis of Panel Data Econometric Analysis of Panel Data 16. Nonlinear Effects Models and Models for Binary Choice Panel Data and Binary Choice Models Uit = ? + ?’xit + ?it + Person i specific effect Fixed effects using “dummy” variables Uit = ?i + ?’xit + ?it Random effects using omitted heterogeneity Uit = ? + ?’xit + (?it + vi) Same outcome mechanism: Yit = [Uit 0] Effects are not removed by differencing the data. Need a direct estimation approach. Application – Doctor Visits Application: Innovations Pooled Estimation The “Panel Probit Model” FIML GMM GMM Estimation-1 GMM Estimation-2 Unobserved Heterogeneity Fixed and Random Effects Models Random Effects Inconsistent if correlated with X Small number of parameters Easier to compute Fixed Effects Robust to both specifications? No. Actually always inconsistent. Inconvenient to compute (many parameters) Incidental parameters problem Computation – available estimators Not possible to test RE vs. FE based on MLE (because MLE/FE is inconsistent.) Random Effects Uit = ? + ?’xit + (?it + ?v vi) Joint probability for individual i | vi = Unobserved component vi must be eliminated Maximize wrt ?, ? and ?v How to do the integration? Analytic integration – quadrature; most familiar software Simulation Quadrature – Butler and Moffitt Estimation by Simulation Random Effects is Equivalent to a Random Constant Term Uit = ? + ?’xit + (?it + ?v vi) = (? + ?? vi) + ?’xit + ?it = ?i + ?’xit + ?it ?i is random with mean ? and variance View the simulation as sampling over ?i No Effects – Pooled Model Butler and Moffitt Simulation Fixed Effects Dummy variable coefficients Uit = ?i + ?’xit + ?it Can be done by “brute force” for 10,000s of individuals F(.) = appropriate probability for the observed outcome Compute ? and ?i for i=1,…,N (may be large) Group mean deviations does not work here. This must be done the hard way.