A Two-Stage Estimator for Probit Models with Structural Group Effects / George J. Borjas, Glenn T. Sueyoshi.

Format:

Book

Author/Creator:

Borjas, George J.

Contributor:

National Bureau of Economic Research.

Sueyoshi, Glenn T.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0146.

NBER technical working paper series no. t0146

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1993.

Summary:

This paper outlines a two-stage technique for estimation and inference in probit models with structural group effects. The structural group specification belongs to a broader class of random components models. In particular, individuals in a given group share a common component in the specification of the conditional mean of a latent variable. For a number of computational reasons, existing random-effects models are impractical for estimation and inference in this type of problem. Our two-stage estimator provides an easily estimable alternative to the random effect specification. In addition, we conduct a Monte Carlo simulation comparing the performance of alternative estimators, and find that the two-stage estimator is superior -- both in terms of estimation and inference -- to traditional estimators.

Notes:

Print version record

November 1993.