Cruz-Gonzalez, M;
Fernández-Val, I;
Weidner, M;
(2017)
Bias corrections for probit and logit models with two-way fixed effects.
The Stata Journal
, 17
(3)
pp. 517-545.
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Abstract
In this article, we present the user-written commands probitfe and logitfe, which fit probit and logit panel-data models with individual and time unobserved effects. Fixed-effects panel-data methods that estimate the unobserved effects can be severely biased because of the incidental parameter problem (Neyman and Scott, 1948, Econometrica 16: –32). We tackle this problem using the analytical and jackknife bias corrections derived in Fernández-Val and Weidner (2016, Journal of Econometrics 192: 291–312) for panels where the two dimensions (N and T) are moderately large. We illustrate the commands with an empirical application to international trade and a Monte Carlo simulation calibrated to this application.
| Type: | Article |
|---|---|
| Title: | Bias corrections for probit and logit models with two-way fixed effects |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | http://www.stata-journal.com/article.html?article=... |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. This article was published in www.stata-journal.com. |
| Keywords: | st0001, probit, logit, panel, fixed effects, bias corrections, incidental parameter problem |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1551672 |
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