probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects

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Tác giả: Mario Cruz-Gonzalez, Ivan Fernandez-Val, Martin Weidner

Ngôn ngữ: eng

Ký hiệu phân loại: 229.2 *Tobit, Judith, deuterocanonical part of Esther

Thông tin xuất bản: 2016

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 161514

Comment: 29 pages, 3 tables, ado and help files for the commands available at http://econpapers.repec.org/software/bocbocode/s458279.htm and http://econpapers.repec.org/software/bocbocode/s458278.htmWe present the Stata commands probitfe and logitfe, which estimate probit and logit panel data models with individual and/or time unobserved effects. Fixed effect panel data methods that estimate the unobserved effects can be severely biased because of the incidental parameter problem (Neyman and Scott, 1948). We tackle this problem by using the analytical and jackknife bias corrections derived in Fernandez-Val and Weidner (2016) 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.
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