Convenient Estimators for the Panel Probit Model


Bertschek, Irene ; Lechner, Michael


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URL: https://ub-madoc.bib.uni-mannheim.de/1059
URN: urn:nbn:de:bsz:180-madoc-10596
Document Type: Working paper
Year of publication: 1995
The title of a journal, publication series: Discussion Papers / Institut für Volkswirtschaftslehre und Statistik ; Department of Economics, Universität Mannheim
Volume: 528
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Institut für Volkswirtschaftslehre und Statistik > Discussion Papers
Subject: 330 Economics
Classification: JEL: C25 C23 C14 ,
Subject headings (SWD): Monte-Carlo-Simulation , Probit-Modell
Abstract: The paper shows that several estimators for the panel probit model 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 binary dependent variable only. Applying nonparametric methods we discuss 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 the expected efficiency gains.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Bertschek, Irene ; Lechner, Michael (1995) Convenient Estimators for the Panel Probit Model. Open Access Discussion Papers / Institut für Volkswirtschaftslehre und Statistik ; Department of Economics, Universität Mannheim Mannheim 528 [Working paper]
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