Errors in variables in a random-effects probit model for panel data

Chihwa Kao, John F. Schnell

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

In this paper we consider a probit model estimated on panel data with random person-specific effects when an independent variable is measured with error. For normally distributed measurement error, a structural maximum-likelihood estimate from a likelihood that is conditional on the observed independent variable but marginal on the incidental parameter is studied. A minimum-distance estimator without the use of external instruments is proposed.

Original languageEnglish (US)
Pages (from-to)339-342
Number of pages4
JournalEconomics Letters
Volume24
Issue number4
DOIs
StatePublished - 1987

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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