Pseudo Conditional Maximum Likelihood Estimation Of The Dynamic Logit Model For Binary Panel Data

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Pseudo Conditional Maximum Likelihood Estimation of the Dynamic Logit Model for Binary Panel Data

Author : Francesco Bartolucci
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Pseudo Conditional Maximum Likelihood Estimation of the Dynamic Logit Model for Binary Panel Data by : Francesco Bartolucci

Download or read book Pseudo Conditional Maximum Likelihood Estimation of the Dynamic Logit Model for Binary Panel Data written by Francesco Bartolucci and published by . This book was released on 2010 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show how the dynamic logit model for binary panel data may be approximated by a quadratic exponential model. Under the approximating model, simple sufficient statistics exist for the subject-specific parameters introduced to capture the unobserved heterogeneity between subjects. The latter must be distinguished from the state dependence which is accounted for by including the lagged response variable among the regressors. By conditioning on the sufficient statistics, we derive a pseudo conditional likelihood estimator for the structural parameters of the dynamic logit model which is very simple to compute. Asymptotic properties of this estimator are derived. Simulation results show that the estimator is competitive in terms of efficiency with estimators very recently proposed in the econometric literature. We also show how the approach may be exploited to construct a Wald-type test for state dependence.

Conditional Maximum Likelihood Estimation of Dynamic Panel Data Models

Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (247 download)

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Book Synopsis Conditional Maximum Likelihood Estimation of Dynamic Panel Data Models by : Hugo Kruiniger

Download or read book Conditional Maximum Likelihood Estimation of Dynamic Panel Data Models written by Hugo Kruiniger and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Analysis of Panel Data

Author : Cheng Hsiao
Publisher : Cambridge University Press
ISBN 13 : 1107038693
Total Pages : 563 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Analysis of Panel Data by : Cheng Hsiao

Download or read book Analysis of Panel Data written by Cheng Hsiao and published by Cambridge University Press. This book was released on 2014-12-08 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive, coherent, and intuitive review of panel data methodologies that are useful for empirical analysis. Substantially revised from the second edition, it includes two new chapters on modeling cross-sectionally dependent data and dynamic systems of equations. Some of the more complicated concepts have been further streamlined. Other new material includes correlated random coefficient models, pseudo-panels, duration and count data models, quantile analysis, and alternative approaches for controlling the impact of unobserved heterogeneity in nonlinear panel data models.

The Oxford Handbook of Panel Data

Author : Badi Hani Baltagi
Publisher :
ISBN 13 : 0199940045
Total Pages : 705 pages
Book Rating : 4.1/5 (999 download)

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Book Synopsis The Oxford Handbook of Panel Data by : Badi Hani Baltagi

Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.

Maximum Likelihood Estimation for Sample Surveys

Author : Raymond L. Chambers
Publisher : CRC Press
ISBN 13 : 1420011359
Total Pages : 374 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Maximum Likelihood Estimation for Sample Surveys by : Raymond L. Chambers

Download or read book Maximum Likelihood Estimation for Sample Surveys written by Raymond L. Chambers and published by CRC Press. This book was released on 2012-05-02 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sample surveys provide data used by researchers in a large range of disciplines to analyze important relationships using well-established and widely used likelihood methods. The methods used to select samples often result in the sample differing in important ways from the target population and standard application of likelihood methods can lead to

Trends and Challenges in Categorical Data Analysis

Author : Maria Kateri
Publisher : Springer Nature
ISBN 13 : 3031311868
Total Pages : 323 pages
Book Rating : 4.0/5 (313 download)

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Book Synopsis Trends and Challenges in Categorical Data Analysis by : Maria Kateri

Download or read book Trends and Challenges in Categorical Data Analysis written by Maria Kateri and published by Springer Nature. This book was released on 2023-07-08 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a selection of modern and sophisticated methodologies for the analysis of large and complex univariate and multivariate categorical data. It gives an overview of a substantive and broad collection of topics in the analysis of categorical data, including association, marginal and graphical models, time series and fixed effects models, as well as modern methods of estimation such as regularization, Bayesian estimation and bias reduction methods, along with new simple measures for model interpretability. Methodological innovations and developments are illustrated and explained through real-world applications, together with useful R packages, allowing readers to replicate most of the analyses using the provided code. The applications span a variety of disciplines, including education, psychology, health, economics, and social sciences.

Modeling Ordered Choices

Author : William H. Greene
Publisher : Cambridge University Press
ISBN 13 : 1139485954
Total Pages : 383 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Modeling Ordered Choices by : William H. Greene

Download or read book Modeling Ordered Choices written by William H. Greene and published by Cambridge University Press. This book was released on 2010-04-08 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is increasingly common for analysts to seek out the opinions of individuals and organizations using attitudinal scales such as degree of satisfaction or importance attached to an issue. Examples include levels of obesity, seriousness of a health condition, attitudes towards service levels, opinions on products, voting intentions, and the degree of clarity of contracts. Ordered choice models provide a relevant methodology for capturing the sources of influence that explain the choice made amongst a set of ordered alternatives. The methods have evolved to a level of sophistication that can allow for heterogeneity in the threshold parameters, in the explanatory variables (through random parameters), and in the decomposition of the residual variance. This book brings together contributions in ordered choice modeling from a number of disciplines, synthesizing developments over the last fifty years, and suggests useful extensions to account for the wide range of sources of influence on choice.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

On Maximum Likelihood Estimation of Dynamic Panel Data Models

Author : Maurice J. G. Bun
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis On Maximum Likelihood Estimation of Dynamic Panel Data Models by : Maurice J. G. Bun

Download or read book On Maximum Likelihood Estimation of Dynamic Panel Data Models written by Maurice J. G. Bun and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse the finite sample properties of maximum likelihood estimators for dynamic panel data models. In particular, we consider transformed maximum likelihood (TML) and random effects maximum likelihood (RML) estimation. We show that TML and RML estimators are solutions to a cubic first-order condition in the autoregressive parameter. Furthermore, in finite samples both likelihood estimators might lead to a negative estimate of the variance of the individual-specific effects. We consider different approaches taking into account the non-negativity restriction for the variance. We show that these approaches may lead to a solution different from the unique global unconstrained maximum. In an extensive Monte Carlo study we find that this issue is non-negligible for small values of T and that different approaches might lead to different finite sample properties. Furthermore, we find that the Likelihood Ratio statistic provides size control in small samples, albeit with low power due to the flatness of the log-likelihood function. We illustrate these issues modelling US state level unemployment dynamics.

Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effect

Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (118 download)

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Book Synopsis Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effect by : Hugo Kruiniger

Download or read book Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effect written by Hugo Kruiniger and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Conditional Maximum Likelihood Estimation for a Dynamic Test Model

Author : Wilhelm F. Kempf
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (773 download)

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Book Synopsis Conditional Maximum Likelihood Estimation for a Dynamic Test Model by : Wilhelm F. Kempf

Download or read book Conditional Maximum Likelihood Estimation for a Dynamic Test Model written by Wilhelm F. Kempf and published by . This book was released on 1975 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Discrete Choice Methods with Simulation

Author : Kenneth Train
Publisher : Cambridge University Press
ISBN 13 : 0521766559
Total Pages : 399 pages
Book Rating : 4.5/5 (217 download)

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Book Synopsis Discrete Choice Methods with Simulation by : Kenneth Train

Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.

Handbook of Research Methods and Applications in Empirical Microeconomics

Author : Hashimzade, Nigar
Publisher : Edward Elgar Publishing
ISBN 13 : 1788976487
Total Pages : 672 pages
Book Rating : 4.7/5 (889 download)

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Book Synopsis Handbook of Research Methods and Applications in Empirical Microeconomics by : Hashimzade, Nigar

Download or read book Handbook of Research Methods and Applications in Empirical Microeconomics written by Hashimzade, Nigar and published by Edward Elgar Publishing. This book was released on 2021-11-18 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in a comprehensive yet accessible style, this Handbook introduces readers to a range of modern empirical methods with applications in microeconomics, illustrating how to use two of the most popular software packages, Stata and R, in microeconometric applications.

Maximum Likelihood Estimation in Binary Data Models Using Panel Data Under Alternative Distributional Assumptions

Author : Chris Orme
Publisher :
ISBN 13 : 9780732603847
Total Pages : 14 pages
Book Rating : 4.6/5 (38 download)

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Book Synopsis Maximum Likelihood Estimation in Binary Data Models Using Panel Data Under Alternative Distributional Assumptions by : Chris Orme

Download or read book Maximum Likelihood Estimation in Binary Data Models Using Panel Data Under Alternative Distributional Assumptions written by Chris Orme and published by . This book was released on 1993 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects

Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (248 download)

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Book Synopsis Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects by : Hugo Kruiniger

Download or read book Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects written by Hugo Kruiniger and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pseudolikelihood Estimation, Markov Graphs and Social Networks

Author : Michael Miyoshi Ikeda
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.3/5 (121 download)

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Book Synopsis Pseudolikelihood Estimation, Markov Graphs and Social Networks by : Michael Miyoshi Ikeda

Download or read book Pseudolikelihood Estimation, Markov Graphs and Social Networks written by Michael Miyoshi Ikeda and published by . This book was released on 1988 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Analysis of Panel Data

Author : Badi Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 0470518863
Total Pages : 239 pages
Book Rating : 4.4/5 (75 download)

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Book Synopsis Econometric Analysis of Panel Data by : Badi Baltagi

Download or read book Econometric Analysis of Panel Data written by Badi Baltagi and published by John Wiley & Sons. This book was released on 2008-06-30 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.