Dear all,
I am running a probit model (since my dependent variable is binary) using Fixed Effects (I need to include them in my model). My data are cross-section data (not panel data), so I am running:
probit Dependent x1 x2 x3 i.region i.industry
I have just realized that using probit with fixed firm effects gives biased/inconsistent estimates and standard errors due to the incidental parameters problem.
How can I address this problem? I have read some about solutions (probitfe or xtspj) but they are all designed for panel data. So, I would appreciate if you could tell how could I run this kind of estimation not incurring into the incidental parameters problem.
Thanks in advance.
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