[panel data专题] can I use Sys-GMM

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

if the dependent variable are binary variable (0 1). Can I use system-GMM estimator? Is there some differences between binary and continuous dependent variable in GMM? Thanks!

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：panel data Panel Data pane use 专题 Data Panel use

In the case that the dependent variable is (0 1), the traditional model, such as sys-GMM can not be used directly, while the xtprobit or xtlogit may be considered.

For dynamic probit or logit, see:

Carro, J., 2007, Estimating dynamic panel data discrete choice models with fixed effects, Journal of Econometrics, 140 (2): 503-528.

Wooldridge, J., 2005, Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity, JOURNAL OF APPLIED ECONOMETRICS, 20 (1): 39-54.

Really? But I have found some papers used sys_GMM for binary dependent variable. I feel puzzled now. Thanks for explanations.