Simulation-based inference in dynamic panel probit models: an application to health

Paul Contoyannis, Andrew M. Jones, Nigel Rice

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32 Citations (Scopus)

Abstract

This paper considers the determinants of a binary indicator for the existence of functional limitations using seven waves (1991-1997) of the British Household Panel Survey (BHPS). The focal point of our analysis is the contributions of state dependence, heterogeneity and serial correlation in explaining the dynamics of health. To investigate these issues we apply static and dynamic panel probit models with flexible error structures. To estimate the models we use maximum simulated likelihood (MSL) with antithetic acceleration and implement a recently proposed test for the existence of asymptotic bias. The dynamic models show strong positive state dependence.

Original languageEnglish
Pages (from-to)49-77
Number of pages29
JournalEmpirical Economics
Volume29
Issue number1
DOIs
Publication statusPublished - Jan 2004
Externally publishedYes

Keywords

  • Binary choice panel data models
  • Health dynamics
  • Simulation-based inference

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