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Probit with Dependent Obervations

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  • 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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Bibliographic Info

Paper provided by Department of Economics, Institute for Business and Economic Research, UC Berkeley in its series Department of Economics, Working Paper Series with number qt04f5m9t2.

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Date of creation: 06 Mar 1987
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Handle: RePEc:cdl:econwp:qt04f5m9t2

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Related research

Keywords: ARMA; limited dependent variables; probit; generalized method of moments; autocorrelation; Social and Behavioral Sciences;

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