This paper considers the estimation of a dynamic ordered probit with fixed effects, with an application to self-assessed health status. The estimation of nonlinear panel data models with fixed effects by MLE is known to be biased when T is not very large. The problem is specially severe in our...

This paper considers the estimation of a dynamic ordered probit of self-assessed health status with two fixed effects: one in the linear index equation and one in the cut points. The two fixed effects allow us to robustly control for heterogeneity in unobserved health status and in reporting...

In this paper I develop an intertemporal discrete choice model of labor supply. The framework incorporates the nonlinearities in the household budget set and accounts for state dependence in labor supply. Based on panel data for Germany (SOEP), I estimate this model using a dynamic conditional...

This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this,...

This paper reports the results of a series of Monte Carlo exercises to contrast the forecasting performance of several panel data esti- mators, divided into three main groups (homogeneous, heterogeneous and shrinkage/Bayesian). The comparison is done using di¤erent lev- els of heterogeneity,...

We use panel probit models with unobserved heterogeneity and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood evaluation of these models requires high-dimensional...

We use panel probit models with unobserved heterogeneity, state-dependence and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood-based inference of these models requires...

This paper analyzes the determinants of annual worker reallocation across disaggregated occupations in western Germany for the period 1985-2003. Employing data from the German Socio-Economic Panel, the pattern of average occupational mobility is documented. Worker reallocation is found to be...

This paper considers estimation of a dynamic discrete choice model with second order state dependence in the presence of strictly exogenous time-varying explanatory variables. We propose new method for estimating such models, and a small Monte Carlo study suggests that the method erforms well in...

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...