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

Michael Lechner and Francois Laisney

No 02-64, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

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

Keywords: Panel data; binary choice model; generalised method of moments; fixed effects (search for similar items in EconPapers)
JEL-codes: C23 C35 C51 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Almost Consistent Estimation of Panel Probit Models with "Small" Fixed Effects (2003)
Working Paper: Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:547

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