I have some troubles calculating fixed effects in a probit model. Stata
reference manual states "there is no command for a conditional probit
fixed-effects model, as there does not exist a sufficient statistic allowing
the fixed effects to be conditioned out of the likelihood. Unconditional
fixed-effects probit models may be estimated with the probit command with
indicator variables for the panels... However, unconditional fixed
fixed-effect estimates are biased".
I would like to know if other available methods (besides Maximum Likelihood)
are suitable to calculate fixed effects in probit models. I have heard about
GLLAMM (Generalized Linear Latent and Mixed Models), but I would like to
know if this method is suitable for my purposes.
Furthermore, I would like to know if it is possible to calculate marginal
effects in a fixed-effects probit model.
Thanks,
Eduardo.
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