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Probit with Dependent Observations

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Author Info
Poirier, Dale J
Ruud, Paul A
Abstract

Estimation of limited dependent variable models with dependent obse rvations has received relatively little attention due to the computational complexity of the maximum likelihood estimator. The authors develop a computationally-attractive and relatively efficient estimator for this case that utilizes the orthogonality conditions. The resulting generalized conditional moment estimators can be applied with a known or an unknown disturbance covariance matrix, alt hough the paper considers only the probit dependent models. Copyright 1988 by The Review of Economic Studies Limited.

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Publisher Info
Article provided by Blackwell Publishing in its journal Review of Economic Studies.

Volume (Year): 55 (1988)
Issue (Month): 4 (October)
Pages: 593-614
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Handle: RePEc:bla:restud:v:55:y:1988:i:4:p:593-614

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