Convenient Estimators for the Panel Probit Model: Further Results

26 Pages Posted: 31 Oct 2008

See all articles by William H. Greene

William H. Greene

New York University Stern School of Business

Date Written: March 2002

Abstract

Bertschek and Lechner (1998) propose several variants of a GMM estimator based on the period specific regression functions for the panel probit model. The analysis is motivated by the complexity of maximum likelihood estimation and the possibly excessive amount of time involved in maximum simulated likelihood estimation. But, for applications of the size considered in their study, full likelihood estimation is actually straightforward, and resort to GMM estimation for convenience is unnecessary. In this note, we reconsider maximum likelihood based estimation of their panel probit model then examine some extensions which can exploit the heterogeneity contained in their panel data set. Empirical results are obtained using the data set employed in the earlier study.

Keywords: Panel probit model, Multivariate probit, GMM, Simulated likelihood, Latent class, Marginal effects

Suggested Citation

Greene, William H., Convenient Estimators for the Panel Probit Model: Further Results (March 2002). NYU Working Paper No. EC-02-06, Available at SSRN: https://ssrn.com/abstract=1292652

William H. Greene (Contact Author)

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