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probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects

Mario Cruz-Gonzalez, Ivan Fernandez-Val () and Martin Weidner

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Abstract: We present the Stata commands probitfe and logitfe, which estimate probit and logit panel data models with individual and/or time unobserved effects. Fixed effect panel data methods that estimate the unobserved effects can be severely biased because of the incidental parameter problem (Neyman and Scott, 1948). We tackle this problem by using the analytical and jackknife bias corrections derived in Fernandez-Val and Weidner (2016) for panels where the two dimensions ($N$ and $T$) are moderately large. We illustrate the commands with an empirical application to international trade and a Monte Carlo simulation calibrated to this application.

New Economics Papers: this item is included in nep-dcm
Date: 2016-10, Revised 2017-02
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