Hostname: page-component-669899f699-8p65j Total loading time: 0 Render date: 2025-04-27T05:23:48.461Z Has data issue: false hasContentIssue false
  • English
  • Français

Semi-Nonparametric Estimation of Binary Choice Models Using Panel Data: An Application to the Innovative Activity of German Firms

Published online by Cambridge University Press:  17 August 2016

François Laisney ,
Michael Lechner  and
Winfried Pohlmeier
François Laisney
Affiliation:
Université Louis Pasteur, Strasbourg, and ZEW, Mannheim
Michael Lechner
Affiliation:
Universität Mannheim
Winfried Pohlmeier
Affiliation:
Universität Mannheim
Get access

Summary

This paper presents an extension of Chamberlain's approach to modelling correlated random effects in a dichotomous model estimated on panel data. The extension consists in relaxing the arbitrary normality assumption made on all error terms and on specifying instead a SNP distribution for the composite error term resulting in each wave from Chamberlain's treatment of correlated random effects. An application to a panel of 1325 German firms illustrates the feasibility of the approach.

Résumé

Résumé

Cet article présente une extension de l'approche de Chamberlain de la modélisation des chocs aléatoires corrélés dans un modèle à variables binaires estimé sur données d'échantillon. L'extension consiste en l'abandon de l'hypothèse arbitraire de normalité des résidus et le remplacement de celle-ci par une distribution SNP sur les résidus composites résultant du traitement à la Chamberlain des chocs aléatoires corrélés. Une application à un échantillon de 1325 firmes allemandes illustre la faisabilité d'une telle approche.

Keywords

C14C23C25C14C23C25
Type
Part II: Productivity Slowdown and Innovative Activity
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 58 , Issue 3-4: Output and Employment Fluctuations , 1992 , pp. 329 - 343
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1992 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

Footnotes

(*)

Support from the Deutsche Forschungsgemeinschaft is gratefully acknowledged. We also wish to thank our colleagues in Mannheim, as well as three anonymous referees, for helpful comments.

References

REFERENCES

Chamberlain, G. (1982), Multivariate Regression Models for Panel Data, Journal of Econometrics, 18, 5–46.Google Scholar
Chamberlain, G. (1984), Panel Data, Chapter 22 in Handbook of Econometrics, Volume II, Griliches, Z. and Intriligator, M.D. (eds.), New York, Elsevier Science Publishers.Google Scholar
Chamberlain, G. (1992), Efficiency Bounds for Semiparametric Regression, Econometrica, 60, 567–596.Google Scholar
Gabler, S., Laisney, F. and Lechner, M. (1993), Semi-Nonparametric Estimation of Binary Choice Models With an Application to Labour Force Participation, forthcoming in the Journal of Business and Economic Statistics, 11, pp. 61–81.Google Scholar
Gallant, R.A. and Nychka, D.N. (1987), Semi-Nonparametric Maximum Likelihood Estimation, Econometrica, 55, 363–390.Google Scholar
Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, 50, 1029–1055.Google Scholar
Honore, B. (1992), Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects, Econometrica, 60, 533–565.Google Scholar
König, H. and Pohlmeier, W. (1992), Prozelßinnovationen und Marktstrategie: Eine Panelanalyse westdeutscher Unternehmen, in: Birg, H. and Schalk, H.J. (eds.), Quantitative Wirtschaftspolitik und Regionale Analyse.Google Scholar
König, H. and Zimmermann, K.F. (1986), Innovations, Market Structure, and Market Dynamics, Journal of Institutional and Theoretical Economics, 142, 184–199.Google Scholar
Laisney, F., Lechner, M. and Pohlmeier, W. (1992a), Innovation Activity and Firm Heterogeneity: Empirical Evidence from West Germany, forthcoming in Journal of Structural Change and Economics Dynamics.Google Scholar
Laisney, F., Lechner, M. van Soest, A. and Wagenhals, G. (1992b), Female Life Cycle Labour Supply Models with Taxes Using the German Socio-Economic Panel 1985-1989, mimeo.Google Scholar
Lechner, M. (1992), Some Specification Tests for Static Limited Dependent Variable Models Estimated on Panel Data, Discussion Paper n° 474-92, University of Manheim.Google Scholar
Lewbel, A. (1991), Semiparametric Multiple Linear Index Model Estimation without Searches, Discussion Paper n° 474-92, University of Manheim.Google Scholar
Manski, C. (1987), Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data, Econometrica, 55, 357–362.Google Scholar
Monopolkommission (1987), Hauptgutachten 1985/1986: Gesamtwirtschaftliche Chancen und Risiken wachsender Unternehmen, Baden-Baden, Nomos Verlagsgesellschaft.Google Scholar
Monopolkommission (1989), Hauptgutachten 1987/1988: Die Wettbewerbsordnung erweitern, Baden-Baden, Nomos Verlagsgesellschaft.Google Scholar
Mundlak, Y. (1987), On the Pooling of Time Series and Cross-Section Data, Econometrica, 46, 69–85.Google Scholar