Almost Consistent Estimation of Panel Probit Models with "Small" Fixed Effects
Journal
Econometric Reviews
ISSN
0747-4938
ISSN-Digital
1532-4168
Type
journal article
Date Issued
2003
Author(s)
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. (doi:10.1081/ETC-120017972)
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Taylor & Francis
Volume
22
Number
1
Start page
1
End page
28
Pages
29
Subject(s)
Eprints ID
14757
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Almost_Consistent_Estimation_of_Panel_Probit_Models_with_Small_Fixed_Effects.pdf
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1.65 MB
Format
Adobe PDF
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