Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects

Peter H. Egger; Michaela Kesina

doi:10.1007/978-3-031-92699-0_8

Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects

Peter H. Egger^*
, Michaela Kesina

^*Corresponding author for this work

Economics, Econometrics and Finance

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic › peer-review

Abstract

Many strategic choices in the social sciences involve sluggish adjustment with an ex-ante unknown lag structure as well as patterns of interdependency among the cross-sectional units, which call for a flexible parameterization based on multiple networks. This chapter proposes straightforward panel-probit estimation approaches based on control functions for such problems. The paper outlines the estimation approaches and illustrates their suitability by simulation examples.

Original language	English
Title of host publication	Seven Decades of Econometrics and Beyond
Subtitle of host publication	A Tribute to the Life and Work of Marc Nerlove
Editors	Badi H. Baltagi, László Mátyás
Publisher	Springer International Publishing, Cham, Switzerland
Chapter	8
Pages	233-260
Number of pages	28
DOIs	https://doi.org/10.1007/978-3-031-92699-0_8
Publication status	Published - 18-May-2025

Publication series

Name	Advanced Studies in Theoretical and Applied Econometrics
Volume	57
ISSN (Print)	1570-5811
ISSN (Electronic)	2214-7977

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10.1007/978-3-031-92699-0_8

Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random EffectsFinal publisher's version, 788 KBLicence: Taverne

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Egger, P. H., & Kesina, M. (2025). Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects. In B. H. Baltagi, & L. Mátyás (Eds.), Seven Decades of Econometrics and Beyond: A Tribute to the Life and Work of Marc Nerlove (pp. 233-260). (Advanced Studies in Theoretical and Applied Econometrics; Vol. 57). Springer International Publishing, Cham, Switzerland. https://doi.org/10.1007/978-3-031-92699-0_8

Egger, Peter H. ; Kesina, Michaela. / Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects. Seven Decades of Econometrics and Beyond: A Tribute to the Life and Work of Marc Nerlove. editor / Badi H. Baltagi ; László Mátyás. Springer International Publishing, Cham, Switzerland, 2025. pp. 233-260 (Advanced Studies in Theoretical and Applied Econometrics).

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abstract = "Many strategic choices in the social sciences involve sluggish adjustment with an ex-ante unknown lag structure as well as patterns of interdependency among the cross-sectional units, which call for a flexible parameterization based on multiple networks. This chapter proposes straightforward panel-probit estimation approaches based on control functions for such problems. The paper outlines the estimation approaches and illustrates their suitability by simulation examples.",

author = "Egger, \{Peter H.\} and Michaela Kesina",

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Egger, PH & Kesina, M 2025, Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects. in BH Baltagi & L Mátyás (eds), Seven Decades of Econometrics and Beyond: A Tribute to the Life and Work of Marc Nerlove. Advanced Studies in Theoretical and Applied Econometrics, vol. 57, Springer International Publishing, Cham, Switzerland, pp. 233-260. https://doi.org/10.1007/978-3-031-92699-0_8

Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects. / Egger, Peter H.; Kesina, Michaela.
Seven Decades of Econometrics and Beyond: A Tribute to the Life and Work of Marc Nerlove. ed. / Badi H. Baltagi; László Mátyás. Springer International Publishing, Cham, Switzerland, 2025. p. 233-260 (Advanced Studies in Theoretical and Applied Econometrics; Vol. 57).

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic › peer-review

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AU - Kesina, Michaela

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Egger PH, Kesina M. Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects. In Baltagi BH, Mátyás L, editors, Seven Decades of Econometrics and Beyond: A Tribute to the Life and Work of Marc Nerlove. Springer International Publishing, Cham, Switzerland. 2025. p. 233-260. (Advanced Studies in Theoretical and Applied Econometrics). doi: 10.1007/978-3-031-92699-0_8

Estimating Dynamic Probit Models with Higher-order Time- and Network-lag Structure and Correlated Random Effects

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