University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

Convenient Estimators for the Panel Probit Model

Irene Bertschek & Michael Lechner

fulltext etc. no fulltext attached
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)
   
type journal paper
   
keywords GMM
   
language English
kind of paper journal article
date of appearance 1-12-1998
journal Journal of Econometrics
publisher North-Holland (Amsterdam)
ISSN 0304-4076
volume of journal 87
number of issue 2
page(s) 329-371
review not reviewed
   
citation Bertschek, I., & Lechner, M. (1998). Convenient Estimators for the Panel Probit Model. Journal of Econometrics, 87(2), 329-371.