Probit with Dependent Observations
AbstractEstimation 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 InfoPaper provided by University of California at Berkeley in its series Economics Working Papers with number 8734.
Date of creation: 01 Mar 1987
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