Citation
Guilkey, David K. & Murphy, James J. (1993). Estimation and Testing in the Random Effects Probit Model. Journal of Econometrics, 59, 301-317.Abstract
This paper examines the finite-sample properties of the random effects probit estimator in comparison to the standard probit estimator and the standard probit estimator with a corrected asymptotic covariance matrix. The Monte Carlo experiment considers data-generating processes consistent with longitudinal data and also data from sample surveys. The probit estimator with corrected asymptotic covariance matrix works surprisingly well over a wide range of parametric configurations and is recommended as long as an estimate of the error correlation is not of high importanceURL
https://doi.org/10.1016/0304-4076(93)90028-4Reference Type
Journal ArticleYear Published
1993Journal Title
Journal of EconometricsAuthor(s)
Guilkey, David K.Murphy, James J.