Resource title

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

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Resource description

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 DGPs. The results show that the proposed estimators outperform these competitors in several situations.

Resource author

Michael Lechner, Fran├žois Laisney

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24531

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Adapt according to the presented license agreement and reference the original author.