CONVENIENT ESTIMATORS FOR THE PANEL PROBIT MODEL

The paper shows that several estimators for the panel probit model sug gested in the literature belong to a common class of GMM estimators. T hey are relatively easy to compute because they are based on condition al moment restrictions involving univariate moments of the binary depe ndent variable only. Applying nonparametric methods we discuss an esti mator that is optimal in this class. A Monte Carlo study shows that a particular variant of this estimator has good small sample properties and that the efficiency loss compared to maximum likelihood is small. An application to the product innovation decisions of German firms rev eals the expected efficiency gains. (C) 1998 Elsevier Science S.A. All rights reserved.