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PROBITFE: Stata module to compute analytical and jackknife bias corrections for fixed effects estimators of panel probit models with individual and time effects

Mario Cruz-Gonzalez (), Ivan Fernandez-Val () and Martin Weidner
Additional contact information
Mario Cruz-Gonzalez: Boston University

Statistical Software Components from Boston College Department of Economics

Abstract: probitfe fits a probit fixed-effects estimator that can include individual and/or time effects, and account for both the bias arising from the inclusion of individual fixed-effects and/or the bias arising from the inclusion of time fixed-effects. probitfe with the nocorrection option does not correct for the incidental parameter bias problem (Neyman and Scott, 1948). probitfe with the analytical option removes an analytical estimate of the bias from the probit fixed-effects estimator using the expressions derived in Fernandez-Val and Weidner (2016). The trimming parameter can be set to any value between 0 and (T-1), where T is the number of time periods. probitfe with the jackknife option removes a jackknife estimate of the bias from the fixed effects estimator. This method is based on the delete-one panel jackknife of Hahn and Newey (2004) and split panel jackknife of Dhaene and Jochmans (2010) as described in Fernandez-Val and Weidner (2016). probitfe displays estimates of Index Coefficients and Average Partial Effects.

Language: Stata
Requires: Stata version 11.2 and moremata from SSC (q.v.)
Keywords: probit; fixed effects; bias corrections; jackknife; panel (search for similar items in EconPapers)
Date: 2016-12-18, Revised 2017-03-10
Note: This module should be installed from within Stata by typing "ssc install probitfe". Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/p/probitfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/probitfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/trade.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/l/lfp_psid.dta sample data file (application/x-stata)

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