Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/24531
Authors: 
Lechner, Michael
Laisney, François
Year of Publication: 
2002
Series/Report no.: 
ZEW Discussion Papers 02-64
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.
Subjects: 
Panel data
binary choice model
generalised method of moments
fixed effects
JEL: 
C51
C23
C35
Document Type: 
Working Paper

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