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

François Laisney & Michael Lechner

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)
   
type journal paper
   
keywords Panel data
   
language English
kind of paper journal article
date of appearance 1-1-2003
journal Econometric Reviews
publisher Dekker (New York)
ISSN 0747-4938
volume of journal 22
number of issue 1
page(s) 1-28
review not reviewed
   
citation Laisney, F., & Lechner, M. (2003). Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects. Econometric Reviews, 22(1), 1-28.