Convenient estimators for the panel probit model

Journal of Econometrics

Volumn 87, Issue 2, 1998, Pages 329-371

  Bertschek, Irene ^a   Lechner, Michael ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

Conditional moment restrictions; GMM; k nearest neighbor estimation; Panel probit model

Indexed keywords

EID: 0007120681     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(98)00008-6     Document Type: Article

References (23)

1. Abramowitz, M., Stegun, I.A., 1966. Handbook of Mathematical Functions with Formulas, Graphs and Mathematical Tables. Dover Publications, New York.
2. Avery, R., Hansen, L., Hotz, V., (1983) Multiperiod probit models and orthogonality condition estimation. International Economic Review 24, 21-35.
3. Bertschek, I., 1995. Product and process innovation as a response to increasing imports and foreign direct investment. Journal of Industrial Economics 43 (4), 341-357.
4. Breitung, J., Lechner, M., 1997. Estimation de modèles non linéaires sur données de panel par la méthode des moments généralisés, Economie et Prévision, forthcoming. (The English version is available as SFB-discussion paper 67, Humboldt-University, Berlin, 1995).
5. Butler, I., Moffitt, R., 1982. A computationally efficient quadrature procedure for the one-factor multinomial probit model. Econometrica 50, 761-764.
6. Carroll, R.J., 1982. Adapting for heteroscedasticity in linear models. The Annals of Statistics 10, 1224-1233.
7. Chamberlain, G., 1980. Analysis of covariance with qualitative data. Review of Economic Studies 47, 225-238.
8. Chamberlain, G., 1984. Panel data. In: Griliches, Z., Intrilligator, M. (Eds.), Handbook of Econometrics, vol. 2, chap. 22. Elsevier, New York.
9. Chamberlain, G., 1987. Asymptotic efficiency in estimation with conditional moment restrictions. Journal of Econometrics 34, 305-334.
10. Guilkey, D., Murphy, J., 1993. Estimation and testing in the random effects probit model. Journal of Econometrics 59, 301-317.
11. Hajivassiliou, V.A., Ruud, P.A., 1994. Classical estimation methods for LDV models using simulation. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Econometrics, vol. 4, chap 40. Elsevier, New York.
12. Hansen, L., 1982. Large sample properties of generalized methods of moments estimators. Econometrica 50, 1029-1055.
13. Härdle, W., 1990. Applied Nonparametric Regression, Econometric Society Monographs vol. 19. Cambridge University Press, Cambridge.
14. Heckman, J., 1981. Statistical models for discrete panel data. In: Manski, C., McFadden, D. (Eds.), Structural Analysis of Discrete Data. MIT Press, Cambridge.
15. Maddala, G.S., 1983. Limited-dependent and qualitative variables in econometrics. Econometric Society Monographs, vol. 3. Cambridge University Press, Cambridge.
16. Nerlove, M., 1971. Further evidence on the estimation of dynamic economic relations from a time series of cross sections. Econometrica 39, 359-383.
17. Newey, W.K., 1990. Efficient instrumental variables estimation of nonlinear models. Econometrica 59, 809-837.
18. Newey, W.K, 1993. Efficient estimation of models with conditional moment restrictions. In: Maddala, G., Rao, C., Vinod, H. (Eds.), Handbook of Statistics, vol. 11, chap. 16. North-Holland, Amsterdam.
19. Robinson, P.M., 1982. On the asymptotic properties of estimators of models containing limited dependent variables. Econometrica 50, 27-41.
20. Robinson, P.M., 1987. Asymptotically efficient estimation in the presence of heteroscedasticity of unknown form. Econometrica 55, 875-891.
21. Stone, C.J., 1997. Consistent nonparametric regression. The Annals of Statistics 5, 595-645.
22. Stroud, A., Secrest, D., 1966. Gaussian Quadrature Formulas, Prentice-Hall, Englewood Cliffs.
23. White, H., 1982. Maximum likelihood estimation of misspecified models. Econometrica 50, 1-25.