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

Author

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  • Fran�ois Laisney
  • Michael Lechner

Abstract

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

  • Fran�ois 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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    Cited by:

    1. Anders Skrondal & Sophia Rabe-Hesketh, 2022. "The Role of Conditional Likelihoods in Latent Variable Modeling," Psychometrika, Springer;The Psychometric Society, vol. 87(3), pages 799-834, September.
    2. Michael Lechner & Stefan Lollivier & Thierry Magnac, 2005. "Parametric Binary Choice Models," University of St. Gallen Department of Economics working paper series 2005 2005-23, Department of Economics, University of St. Gallen.
    3. Eric A. Posner & Miguel F. P. de Figueiredo, 2005. "Is the International Court of Justice Biased?," The Journal of Legal Studies, University of Chicago Press, vol. 34(2), pages 599-630, June.

    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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