Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79390
Authors: 
Wooldridge, Jeffrey M.
Year of Publication: 
2002
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP18/02
Abstract: 
I study a simple, widely applicable approach to handling the initial conditions problem in dynamic, nonlinear unobserved effects models. Rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables, I propose finding the distribution conditional on the initial value (and the observed history of strictly exogenous explanatory variables). The approach is flexible, and results in simple estimation strategies for at least three leading dynamic, nonlinear models: probit, Tobit, and Poisson regression. I treat the general problem of estimating average partial effects, and show that simple estimators exist for important special cases.
Subjects: 
Panel data , dynamic model , unobserved effects , initial conditions , logit , probit , Tobit , Poisson
JEL: 
C33
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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