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The efficient moment estimation of the probit model with an endogenous continuous regressor

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Author Info
Daiji Kawaguchi
Hisahiro Naito

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Abstract

We 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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File URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2005/pdf/D05-106.pdf
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Paper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d05-106.

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Date of creation: Jun 2005
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Handle: RePEc:hst:hstdps:d05-106

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Related research
Keywords: 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

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lucchetti, Riccardo, 2002. "Inconsistency of naive GMM estimation for QR models with endogenous regressors," Economics Letters, Elsevier, vol. 75(2), pages 179-185, April. [Downloadable!] (restricted)
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  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  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!]
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