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Inconsistency Of Naive GMM Estimation For QR Models With Endogenous Regressors

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Author Info
Riccardo LUCCHETTI () (Universita' Politecnica delle Marche, Dipartimento di Economia)

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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://dea2.univpm.it/quaderni/pdf/140.pdf
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Publisher Info
Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Economia in its series Working Papers with number 140.

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

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Find related papers by JEL classification:
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

Cited by:
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  1. Joachim Wilde, 2005. "A note on GMM-estimation of probit models with endogenous regressors," IWH Discussion Papers 4-05, Halle Institute for Economic Research. [Downloadable!]
  2. Daiji Kawaguchi & Hisahiro Naito, 2005. "The efficient moment estimation of the probit model with an endogenous continuous regressor," Hi-Stat Discussion Paper Series d05-106, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
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