A Monte Carlo study of bias corrections for panel probit models

Blair Alexander, Robert Breunig
2014 Journal of Statistical Computation and Simulation  
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 (MLE). JEL CODES: C13,C23
doi:10.1080/00949655.2014.994516 fatcat:jm4boskj6rdofijidfcerjinh4