st: Re: RE: Why no probit with fixed effect?

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

I suggest to read

Greene (2002): http://www.stern.nyu.edu/~wgreene/nonlinearfixedeffects.pdf

Arellano and Hahn (2005):  http://www.cemfi.es/~arellano/ah-r3.pdf

and maybe Arellano and Hahn(2006): 
http://www.cemfi.es/~arellano/arellano-hahn-paper2006.pdf with appendix:
http://www.cemfi.es/~arellano/arellano-hahn-appendix2006.pdf

Fernandez-Val (2007) 
http://people.bu.edu/ivanf/wp_files/panelprobit_feb10_2007.pdf

The problems: (1) estimating N incidental parameters, (2) getting 
inconsistency.

The secret: a large T.

Rodrigo.


----- Original Message ----- 
From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, March 09, 2007 4:26 AM
Subject: st: RE: Why no probit with fixed effect?



> Ncdcta00,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > ncdcta00@uniroma2.it
> > Sent: Friday, March 09, 2007 9:10 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: Why no probit with fixed effect?
> >
> > Dear statalist, why don't use probit with fixed effect, but
> > only random?
> Because just including dummies does not give you a consistent estimator.
> Have a look at
>
> http://www.stata.com/statalist/archive/2003-09/msg00103.html
>
> Cheers,
> Mark
>
> > thanks
> >
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