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A Two-Stage Estimator for Probit Models with Structural Group Effects

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Author Info
George J. Borjas
Glenn T. Sueyoshi

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Abstract

This paper outlines a two-stage technique for estimation and inference in probit models with structural group effects. The structural group specification belongs to a broader class of random components models. In particular, individuals in a given group share a common component in the specification of the conditional mean of a latent variable. For a number of computational reasons, existing random-effects models are impractical for estimation and inference in this type of problem. Our two-stage estimator provides an easily estimable alternative to the random effect specification. In addition, we conduct a Monte Carlo simulation comparing the performance of alternative estimators, and find that the two-stage estimator is superior -- both in terms of estimation and inference -- to traditional estimators.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0146.

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Date of creation: Nov 1993
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Handle: RePEc:nbr:nberte:0146

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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

References listed on IDEAS
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  1. Robinson, Peter M, 1982. "On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables," Econometrica, Econometric Society, vol. 50(1), pages 27-41, January. [Downloadable!] (restricted)
  2. Avery, Robert B & Hansen, Lars Peter & Hotz, V Joseph, 1983. "Multiperiod Probit Models and Orthogonality Condition Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 21-35, February. [Downloadable!] (restricted)
  3. David G. Blanchflower & Andrew J. Oswald, 1990. "The Wage Curve," NBER Working Papers 3181, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Moulton, Brent R., 1986. "Random group effects and the precision of regression estimates," Journal of Econometrics, Elsevier, vol. 32(3), pages 385-397, August. [Downloadable!] (restricted)
  5. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 225-38, January. [Downloadable!] (restricted)
  6. Borjas, George J, 1992. "Ethnic Capital and Intergenerational Mobility," The Quarterly Journal of Economics, MIT Press, vol. 107(1), pages 123-50, February. [Downloadable!] (restricted)
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  7. James J. Heckman & Robert J. Willis, 1974. "Estimation of a Stochastic Model of Reproduction: An Econometric Approach," NBER Working Papers 0034, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Amemiya, Takeshi, 1978. "A Note on a Random Coefficients Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(3), pages 793-96, October. [Downloadable!] (restricted)
  9. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier. [Downloadable!] (restricted)
  10. Hausman, Jerry A. & Taylor, William E., 1981. "Panel data and unobservable individual effects," Journal of Econometrics, Elsevier, vol. 16(1), pages 155-155, May. [Downloadable!] (restricted)
  11. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-98, November. [Downloadable!] (restricted)
  12. Borjas, George J, 1987. "Self-Selection and the Earnings of Immigrants," American Economic Review, American Economic Association, vol. 77(4), pages 531-53, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jonathan Gruber, 1992. "State Mandated Benefits and Employer Provided Health Insurance," NBER Working Papers 4239, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Katherine Meckel, 2008. "Remittance behavior among new U.S. immigrants," Working Paper Series WP-08-19, Federal Reserve Bank of Chicago. [Downloadable!]
  3. P. Deb & F. Rosati, 2002. "Determinants of Child Labour and School Attendance: The Role of Household Unobservables," UCW Working Paper 9, Understanding Children's Work (UCW Project). [Downloadable!]
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  4. Irina Denisova & Markus Eller & Timothy Frye & Ekaterina Zhuravskaya, 2009. "Who Wants To Revise Privatization? The Complementarity of Market Skills and Institutions," Working Papers w0127, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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  5. Daniel Aaronson & Lisa Barrow & William Sander, 2002. "Teachers and student achievement in the Chicago public high schools," Working Paper Series WP-02-28, Federal Reserve Bank of Chicago. [Downloadable!]
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  6. Robert W. Fairlie & Bruce D. Meyer, . "The Effect of Immigration on Native Self-Employment," IPR working papers 00-2, Institute for Policy Resarch at Northwestern University. [Downloadable!]
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  7. Wen-chieh Wu & Sue-Jing Lin, 2002. "Housing Demand with Random Group Effects," International Real Estate Review, Asian Real Estate Society, vol. 5(1), pages 133-145. [Downloadable!]
  8. George J. Borjas & Glenn T. Sueyoshi, 1997. "Ethnicity and the Intergenerational Transmission of Welfare Dependency," NBER Working Papers 6175, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Kimhi, Ayal, 2003. "Plot Size And Maize Productivity In Zambia: The Inverse Relationship Re-Examined," Discussion Papers 14980, Hebrew University of Jerusalem, Department of Agricultural Economics and Management. [Downloadable!]
  10. Kimhi, Ayal & Chiwele, Dennis, 2000. "Barriers For Development In Zambian Small- And Medium-Size Farms: Evidence From Micro-Data," 2000 Annual meeting, July 30-August 2, Tampa, FL 21877, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  11. Edward Montgomery & John Navin, 1996. "Cross-State Variation in Medicaid Programs and Female Labor Supply," NBER Working Papers 5492, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Cory Koedel & Julian Betts, 2007. "Re-Examining the Role of Teacher Quality In the Educational Production Function," Working Papers 0708, Department of Economics, University of Missouri. [Downloadable!]
  13. Martin Browning & Thomas Crossley, . "Unemployment Insurance Benefit Levels and Consumption Changes," Canadian International Labour Network Working Papers 25, McMaster University. [Downloadable!]
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  14. Robert W. Fairlie & Bruce D. Meyer, 1994. "The Ethnic and Racial Character of Self-Employment," NBER Working Papers 4791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Partha Deb, 2001. "A discrete random effects probit model with application to the demand for preventive care," Health Economics, John Wiley & Sons, Ltd., vol. 10(5), pages 371-383. [Downloadable!]
  16. Jennifer Hunt, 2005. "Why Are Some Public Officials more Corrupt Than Others?," NBER Working Papers 11595, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  17. Even Caroli & John Van Reenen, 1999. "Organization, skill and technology: evidence from a panel of British and French establishments," IFS Working Papers W99/23, Institute for Fiscal Studies.
  18. Daniel Aaronson, 1998. "The effect of school finance reform on population heterogeneity," Working Paper Series WP-98-11, Federal Reserve Bank of Chicago. [Downloadable!]
  19. John Mullahy, 1998. "It'll Only Hurt a Second? Microeconomic Determinants of Who Gets Flu Shots," NBER Working Papers 6500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  20. Robert W. Fairlie & Bruce D. Meyer, 1997. "Does Immigration Hurt African-American Self-Employment?," NBER Working Papers 6265, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  21. Heather Antecol, . "An Examination of Cross-Country Differences in the Gender Gap in Labor Force Participation Rates," Canadian International Labour Network Working Papers 37, McMaster University. [Downloadable!]
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