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Inconsistency Of Naive GMM Estimation For QR Models With Endogenous Regressors

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  • Riccardo LUCCHETTI

    ()
    (Universita' Politecnica delle Marche, Dipartimento di Economia)

Abstract

A naive GMM approach to estimating QR (logit and probit) models with endogenous explanatory variables can lead to inconsistent estimators. This result was previously shown by Dagenais via simulation. In this paper, a special case is presented for which an analytical proof is possible; it turns out that the estimator is indeed inconsistent, but the framework analysed here can be useful for hypothesis testing. Un approccio GMM `naive' per la stima di modelli QR con regressori endogeni porta a stimatori inconsistenti. Questo risultato, ottenuto via simulazione da Dagenais, viene qui provato analiticamente in un caso particolare. Si ha che lo stimatore in effetti inconsitente, ma pu essere di una qualche utilit per la prova di ipotesi.

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File URL: http://docs.dises.univpm.it/web/quaderni/pdf/140.pdf
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Bibliographic Info

Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 140.

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Length: 6
Date of creation: Jul 2000
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Handle: RePEc:anc:wpaper:140

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References

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  1. Arthur Lewbel, 1999. "Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables," Boston College Working Papers in Economics 454, Boston College Department of Economics.
  2. Grogger, Jeffrey, 1990. "A simple test for exogeneity in probit, logit, and poisson regression models," Economics Letters, Elsevier, vol. 33(4), pages 329-332, August.
  3. Dagenais, Marcel G., 1999. "Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors," Economics Letters, Elsevier, vol. 63(1), pages 19-21, April.
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Cited by:
  1. Stefania BUSSOLETTI & Roberto ESPOSTI, 2004. "Regional Convergence, Structural Funds and the Role of Agricolture in the EU. A Panel-Data Approach," Working Papers 220, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  2. Francesca Modena & Concetta Rondinelli & Fabio Sabatini, 2013. "Economic insecurity and fertility intentions: the case of Italy," Temi di discussione (Economic working papers) 931, Bank of Italy, Economic Research and International Relations Area.
  3. Francesca Modena & Fabio Sabatini, 2010. "I Would if I Could: Precarious Employment and Childbearing Intentions in Italy," Department of Economics Working Papers 1013, Department of Economics, University of Trento, Italia.
  4. Joachim Wilde, 2008. "A note on GMM estimation of probit models with endogenous regressors," Statistical Papers, Springer, vol. 49(3), pages 471-484, July.
  5. Marcello MESSORI & Alberto ZAZZARO, 2004. "Monetary profits within the circuit: Ponzi finance oer "mors tua, vita mea"?," Working Papers 200, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  6. Ugo FRATESI, 2003. "Innovation Diffusion and the Evolution of Regional Disparities," Working Papers 186, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  7. Massimiliano BRATTI, 2001. "Labour Force Participation and Marital Fertility of Italian Women: The Role of Education," Working Papers 154, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  8. Elvio MATTIOLI, 2003. "The measurement of coherence in the evaluation of criteria and its effects or ranking problems illustrated using a multicriteria decision method," Working Papers 199, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  9. Nicola MATTEUCCI & Alessandro STERLACCHINI, 2003. "ICT and Employment Growth in Italian Industries," Working Papers 193, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

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