Inference in Approximately Sparse Correlated Random Effects Probit Models With Panel Data
近似稀疏相关随机效应面板Probit模型的统计推断
We propose a simple procedure based on an existing “debiased” l1-regularized method for inference of the average partial effects (APEs) in approximately sparse probit and fractional probit models with panel data, where the number of time periods is fixed and small relative to the number of cross-sectional observations. Our method is computationally simple and does not suffer from the incidental parameters problems that come from attempting to estimate as a parameter the…