A note on GMM estimation of probit models with endogenous regressors
AbstractDagenais (1999) and Lucchetti (2002) have demonstrated that the naive GMM estimator of Grogger (1990) for the probit model with an endogenous regressor is not consistent. This paper completes their discussion by explaining the reason for the inconsistency and presenting a natural solution. Furthermore, the resulting GMM estimator is analyzed in a Monte-Carlo simulation and compared with alternative estimators.
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Bibliographic InfoArticle provided by Springer in its journal Statistical Papers.
Volume (Year): 49 (2008)
Issue (Month): 3 (July)
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Web page: http://www.springer.com/statistics/business/journal/362
Other versions of this item:
- Joachim Wilde, 2005. "A note on GMM-estimation of probit models with endogenous regressors," IWH Discussion Papers, Halle Institute for Economic Research 4, Halle Institute for Economic Research.
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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