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st: Re: Conditional Probit Model

From   "Alejandro Lopez-Feldman" <[email protected]>
To   [email protected]
Subject   st: Re: Conditional Probit Model
Date   Thu, 13 Jan 2005 22:43:32 -0800 (PST)


 As far as I know there is no theoretically accepted way to get a
 conditional probit model so there is no model for that in Stata. If you
 have a long (big T) data set you might still be able to estimate an
 unconditional fixed effects probit by including a set of dummies for each N
 if you are willing to believe that the incidental parameters problem is not
 an issue and that the bias is not so bad. If you are interestes here is a
 reference about Greene's explanation of this.

 Greene, W. (2004). The behaviour of the maximum likelihood estimator of
 limited dependent variable models in the presence of fixed effects.
 Econometric Journal. 7, pp. 98-119.

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