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

Francois Laisney and Michael Lechner

Econometric Reviews, 2003, vol. 22, issue 1, 1-28

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.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1081/ETC-120017972 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects (2002)
Working Paper: Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:22:y:2003:i:1:p:1-28

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1081/ETC-120017972

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().