A Monte Carlo study of bias corrections for panel probit models

Blair Alexander, Robert Breunig*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    2 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)74-90
    Number of pages17
    JournalJournal of Statistical Computation and Simulation
    Volume86
    Issue number1
    DOIs
    Publication statusPublished - 2 Jan 2016

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