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


Laisney, François ; Lechner, Michael


[img]
Preview
PDF
dp0264.pdf - Published

Download (455kB)

URL: http://ub-madoc.bib.uni-mannheim.de/381
URN: urn:nbn:de:bsz:180-madoc-3814
Document Type: Working paper
Year of publication: 2002
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C35 C23 C51 ,
Subject headings (SWD): Panelanalyse , Monte-Carlo-Simulation
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.
Additional information:

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Citation Example and Export

Laisney, François ; Lechner, Michael (2002) Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects. Open Access [Working paper]
[img]
Preview


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item