This paper evaluates the performance of a recently emerging multivariate quadrature-based Sparse Grids Integration (SGI) and the well-known Geweke–Hajivassiliou–Keane (GHK) simulator in estimating multivariate binary probit models. Monte Carlo exercises demonstrate that in lower dimension...

We examine finite sample properties of estimators for approximate factor models when N is small. Contrary to the “rule-of-thumb”, we find that the principal component analysis estimator and the quasi-maximum likelihood estimator perform well even when N is small.

We develop a sieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. The test seems to have good size and power properties even with small cross-sections, moderate time samples, and low heterogeneity.

This paper develops new model selection criteria for regression with heteroskedastic and autocorrelated errors. We prove the selection consistency of the introduced criteria and evaluate their performance by simulation. The results suggest that the new criteria may bring significant improvement...

Applications of panel unit root tests have become commonplace in empirical economics, yet there are ambiguities as how best to interpret the test results. This note clarifies that rejection of the panel unit root hypothesis should be interpreted as evidence that a statistically significant...

This paper deals with the question whether exclusion restrictions on the exogenous regressors are necessary to identify two equation probit models with endogenous dummy regressor. We show that Wilde (2000)’s criterion is insufficient for (point) identification.

This study examines the relationship between technological change and a series of key macroeconomic variables in G7 countries. Basically, we find that the rate of interest has a negative impact on the pace of innovation, while investments in the R&D sector, high-technology exports, as well as...

Estimating binary choice models with endogeneity is of considerable importance in microeconometrics. The leading control function approach does not apply when the endogenous variable is binary. We propose a multi-stage estimation procedure for a heteroscedastic binary choice model with an...

This study applies an estimator based on inequality restrictions to multivariate discrete choice models and identifies the conditions under which the inequality estimator performs well in small samples and for complex problems.

We present an alternative explanation of the logit probabilistic choice from the equal likelihood hypothesis without the Gumbel distribution. The hypothesis is that if the total utility values from combinations of actions are the same, all such combinations of actions are equally likely.