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Almost Consistent Estimation of Panel Probit Models with "Small" Fixed Effects


  • François Laisney
  • Michael Lechner


We 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 data generating processes. The results show that the proposed estimators outperform these competitors in several situations.

Suggested Citation

  • François 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, February.
  • Handle: RePEc:taf:emetrv:v:22:y:2003:i:1:p:1-28 DOI: 10.1081/ETC-120017972

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    References listed on IDEAS

    1. 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.
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    5. 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.
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    Cited by:

    1. Lechner, Michael & Lollivier, Stefan & Magnac, Thierry, 2005. "Parametric Binary Choice Models," IDEI Working Papers 398, Institut d'Économie Industrielle (IDEI), Toulouse.

    More about this item

    JEL classification:

    • 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


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