Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
AbstractWe propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel probit models with fixed effects for the case of small T and large N. The moments used are derived for each period from a first order approximation of the mean of the dependent variable conditional on explanatory variables and on the fixed effect. The estimators differ w.r.t. the choice of instruments and whether they use trimming to reduce the bias or not. In a Monte Carlo study we compare these estimators with pooled probit and conditional logit estimators for different DGPs. The results show that the proposed estimators outperform these competitors in several situations.
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Bibliographic InfoPaper provided by Department of Economics, University of St. Gallen in its series University of St. Gallen Department of Economics working paper series 2002 with number 2002-15.
Length: 35 pages
Date of creation: Jun 2002
Date of revision:
Panel data; binary choice model; generalised method of moments; fixed effects;
Other versions of this item:
- Francois Laisney & Michael Lechner, 2003. "Almost Consistent Estimation of Panel Probit Models with “Small” Fixed Effects," Econometric Reviews, Taylor & Francis Journals, vol. 22(1), pages 1-28.
- Lechner, Michael & Laisney, François, 2002. "Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects," ZEW Discussion Papers 02-64, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-06-18 (All new papers)
- NEP-DCM-2002-06-18 (Discrete Choice Models)
- NEP-ECM-2002-06-18 (Econometrics)
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