A Two-Stage Estimator for Probit Models with Structural Group Effects

George Borjas and Glenn T. Sueyoshi

No 146, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: C23 (search for similar items in EconPapers)
Date: 1993-11
Note: LS
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Published as Borjas, George J. and Glenn T. Sueyoshi. "A Two-Stage Estimator For Probit Models With Structural Group Effects," Journal of Econometrics, 1994, v64(1/2), 165-182.

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Journal Article: A two-stage estimator for probit models with structural group effects (1994)
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