infonet-economy

Not available in German. The paper shows that several estimators for the panel probit model that are suggested in the literature belong to a common class of GMM estimators. They are relatively easy to compute because they are based on conditional moment restrictions involving univariate moments of the dependent variables only. Applying nonparametric methods we suggest an estimator 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 reveals important efficiency gains.
(doi:10.1016/S0304-4076(98)00008-6)
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