The efficient moment estimation of the probit model with an endogenous continuous regressor
AbstractWe propose an efficient moment estimator for the probit model with a continuous endogenous regressor. The estimation can be readily implemented using a standard statistical package that can estimate a non-linear system two-stage least squares (instrumental variable) estimator.
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Bibliographic InfoPaper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d05-106.
Date of creation: Jun 2005
Date of revision:
Probit; Continuous endogenous regressor; Moment estimation;
Find related papers by JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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- Rivers, Douglas & Vuong, Quang H., 1988. "Limited information estimators and exogeneity tests for simultaneous probit models," Journal of Econometrics, Elsevier, vol. 39(3), pages 347-366, November.
- John Mullahy, 1997. "Instrumental-Variable Estimation Of Count Data Models: Applications To Models Of Cigarette Smoking Behavior," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 586-593, November.
- Joachim Wilde, 2008.
"A note on GMM estimation of probit models with endogenous regressors,"
Springer, vol. 49(3), pages 471-484, July.
- Joachim Wilde, 2005. "A note on GMM-estimation of probit models with endogenous regressors," IWH Discussion Papers 4, Halle Institute for Economic Research.
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