GMM Estimation of Panel Probit Models: Nonparametric Esitmation of the Optimal Instruments
AbstractThe generalised method of moments (GMM) is combined with the nonparametric estimation of the instrument matrix to obtain an easily computable estimator for the panel probit model. It is based on the specification of the conditional mean of the binary dependent variable in each period, and therefore high-dimensional numerical integrations are avoided. An extensive Monte Carlo study compares this estimator with other estimators proposed in the literature and shows that it has good small sample properties and that the efficiency loss compared to full information maximum likelihood is quite small. Some of the estimators are applied to two microeconometric examples.
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Bibliographic InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1995,25.
Date of creation: 1995
Date of revision:
Other versions of this item:
- Bertsched, I & Lechner, M, 1995. "GMM Estimation of Panel Probit Models : Nonparametric Estimation of the Optimal Instruments," Papers 9504, Catholique de Louvain - Institut de statistique.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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