Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
面板 Probit 中的异方差误设：GMM 与模拟最大似然的小样本比较
This paper compares generalized method of moments (GMM) and simulated maximum likelihood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance-covariance matrix of the latent normal regression model. Particular attention is paid to a three-stage GMM estimator based on nonparametric estimation of the optimal instruments for given conditional…