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st: RE: Fixed Effects Probit Model.


From   Jan Bryla <JBR@finansraadet.dk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Fixed Effects Probit Model.
Date   Fri, 29 Jul 2011 11:31:16 +0200

Natasha,
Without answering your question, I seem to recall that consistent estimates of the parameter vector do not exist for fixed-effects probit models, but they do for fixed-effects logit models. This applies in general, so maybe the fixed-effects probit is not the best alternative. Perhaps a conditional logit model is more preferable (if you can live with the assumptions)?

Can anyone verify if my memory is correct?

Jan

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of natasha agarwal
Sent: 29. juli 2011 10:48
To: statalist@hsphsun2.harvard.edu
Subject: st: Fixed Effects Probit Model.

Dear All,

I have a firm-level unbalanced panel data set (20,000 firms for 5
years), and wanted to run a two-way fixed effect probit model.



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