This paper studies identification in a binary choice panel data model with choice probabilities depending on a lagged outcome, additional observed regressors and an unobserved unit-specific effect. It is shown that with two consecutive periods of data identification is not possible (in a...

I show a simple back-of-the-envelope method for calculating marginal effects in binary choice and count data models. The approach suggested here focuses attention on marginal effects at different points in the distribution of the dependent variable rather than representative points in the joint...

In this paper, we consider estimation of discrete response models exhibiting conditional heteroskedasticity of a multiplicative form, where the latent error term is assumed to be the product of an unknown scale function and a homoskedastic error term. It is first shown that for estimation of the...

This paper considers the estimation of binary choice panel data models with discrete endogenous regressors. We present a switching probit model which accounts for selectivity bias as well as for other forms of time invariant unobserved heterogeneity. Individual effects are allowed to be...

This paper investigates the finite sample distributions of maximum likelihood estimators for nonstationary probit models. We find that, analogous to standard OLS models, commonly used tests statistics almost always reject the null hypothesis of no relationship between xt and a latent yt, even...

Lao PDR is one of the economically least developed countries in the world. As a member of the GMS region and the ASEAN, Lao PDR stands to benefit from the growth of the GMS region by the East West Economic Corridor that links the Central Region of Lao PDR with Thailand and Vietnam through...

This study extends experimental tests of (cumulative) prospect theory (PT) over prospects with more than three outcomes and tests second-order stochastic dominance principles (Levy and Levy, Management Science 48:1334–1349, <CitationRef CitationID="CR44">2002</CitationRef>; Baucells and Heukamp, Management Science 52:1409–1423, <CitationRef CitationID="CR10">2006</CitationRef>)....</citationref></citationref>

This paper analyzes the properties of a class of estimators, tests, and confidence sets (CSs) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter θ. This...

This paper extends the familiar notion of fixed effects to nonlinear structures with infinite-dimensional unobservables, like preferences. The main result is that a generalized version of differencing identifies local average responses (LARs) in nonseparable structures. In contrast to existing...