Almost Consistent Estimation of Panel Probit Models with “Small” Fixed Effects
针对T小N大的面板Probit模型，提出四种GMM估计量实现结构参数的近似一致估计，通过蒙特卡洛模拟证明其优于混合Probit和条件Logit估计量。
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 Tand 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 data generating processes. The results show that the proposed estimators outperform these competitors in several situations.