Before revision:  To illustrate our approach we study panel data modelswhere the distribution of individual effects may be misspecifiedand the number of time periods is small , and we revisit the structural evaluation of a conditional cash transfer program in Mexico .
After revision:  As illustrations, we study two binary choice models: a cross-sectional model where the error distribution is misspecified, and a dynamic panel data model where the distribution of individual effects may be misspecifiedand the number of time periods is small , and we revisit the structural evaluation of a conditional cash transfer program in Mexico .