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A Monte Carlo study of bias corrections for panel probit models

Alexander, Blair; Breunig, Robert

Description

We examine bias corrections which have been proposed for the fixed effects panel probit model with exogenous regressors, using several different data generating processes to evaluate the performance of the estimators in different situations. We find a best estimator across all cases for coefficient estimates, but when the marginal effects are the quantity of interest no analytical correction is able to outperform the uncorrected maximum-likelihood estimator.

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/21151
Source: Journal of Statistical Computation and Simulation
DOI: 10.1080/00949655.2014.994516

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