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


From   "Rodrigo A. Alfaro" <raalfaroa@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: RE: Why no probit with fixed effect?
Date   Fri, 9 Mar 2007 07:54:31 -0500

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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