Convenient Estimators for the Panel Probit Model
Journal
Journal of Econometrics
ISSN
0304-4076
Type
journal article
Date Issued
1998-12-01
Author(s)
Abstract
Not available in German. The paper shows that several estimators for the panel probit model that are suggested in the literature belong to a common class of GMM estimators. They are relatively easy to compute because they are based on conditional moment restrictions involving univariate moments of the dependent variables only. Applying nonparametric methods we suggest an estimator that is optimal in this class. A Monte Carlo study shows that a particular variant of this estimator has good small sample properties and that the efficiency loss compared to maximum likelihood is small. An application to the product innovation decisions of German firms reveals important efficiency gains.
(doi:10.1016/S0304-4076(98)00008-6)
Download GAUSS Programmes: (self extracting ZIP-File, 372 kb)
(doi:10.1016/S0304-4076(98)00008-6)
Download GAUSS Programmes: (self extracting ZIP-File, 372 kb)
Language
English
Keywords
GMM
HSG Classification
contribution to scientific community
Refereed
No
Publisher
North-Holland
Publisher place
Amsterdam
Volume
87
Number
2
Start page
329
End page
371
Pages
43
Subject(s)
Eprints ID
14968