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Michael Lechner
Title
Prof. Dr.
Last Name
Lechner
First name
Michael
Email
michael.lechner@unisg.ch
Phone
+41 71 224 28 14
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PublicationEstimation of Limited Dependent Variable Habit Persistence Models on Panel Data with an Application to the Dynamics of Self-employment in the former East GermanyNot available in German. The paper suggests two multi-step estimation methods for dynamic limited dependent variable models with random effects on panel data. The estimated coefficients are consistent, in the sense that the number of individuals tends to infinity and the number of time periods is fixed. The error terms are assumed to be independently and identical distributed across individuals, but otherwise unrestricted. The estimators have the advantages that they are asymptotically efficient in their proposed class, and that the vast literature on parametric and semi-parametric estimators of limited dependent variable models for cross-sections as well as the resulting software can be utilised. The small sample behaviour of the methods is investigated using a Monte Carlo study. The preferred method is applied to the analysis of the dynamics of self-employment in the former East Germany after unification.