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Inconsistency Of Naive GMM Estimation For QR Models With Endogenous Regressors

Author

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  • Riccardo LUCCHETTI

    (Universita' Politecnica delle Marche, Dipartimento di Economia)

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.

Suggested Citation

  • Riccardo LUCCHETTI, 2000. "Inconsistency Of Naive GMM Estimation For QR Models With Endogenous Regressors," Working Papers 140, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wpaper:140
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    File URL: http://docs.dises.univpm.it/web/quaderni/pdf/140.pdf
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    Cited by:

    1. Ugo Fratesi, 2003. "Innovation Diffusion and the Evolution of Regional Disparities," ERSA conference papers ersa03p327, European Regional Science Association.
    2. Francesca Modena & Concetta Rondinelli & Fabio Sabatini, 2014. "Economic Insecurity and Fertility Intentions: The Case of Italy," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(S1), pages 233-255, May.
    3. Nicola MATTEUCCI & Alessandro STERLACCHINI, 2003. "ICT and Employment Growth in Italian Industries," Working Papers 193, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    4. Stefania BUSSOLETTI & Roberto ESPOSTI, 2004. "Regional Convergence, Structural Funds and the Role of Agricolture in the EU. A Panel-Data Approach," Working Papers 220, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    5. Francesca Modena & Fabio Sabatini, 2012. "I would if I could: precarious employment and childbearing intentions in Italy," Review of Economics of the Household, Springer, vol. 10(1), pages 77-97, March.
    6. Daiji Kawaguchi & Yukitoshi Matsushita & Hisahiro Naito, 2017. "Moment Estimation of the Probit Model with an Endogenous Continuous Regressor," The Japanese Economic Review, Springer, vol. 68(1), pages 48-62, March.
    7. de Grange, Louis & González, Felipe & Marechal, Matthieu & Troncoso, Rodrigo, 2024. "A consistent moment equations for binary probit models with endogenous variables using instrumental variables," Journal of choice modelling, Elsevier, vol. 53(C).
    8. 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.
    9. Marcello MESSORI & Alberto ZAZZARO, 2004. "Monetary profits within the circuit: Ponzi finance oer "mors tua, vita mea"?," Working Papers 200, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    10. Ashworth, John & Geys, Benny & Heyndels, Bruno, 2006. "Determinants of tax innovation: The case of environmental taxes in Flemish municipalities," European Journal of Political Economy, Elsevier, vol. 22(1), pages 223-247, March.
    11. Elvio MATTIOLI, 2003. "The measurement of coherence in the evaluation of criteria and its effects or ranking problems illustrated using a multicriteria decision method," Working Papers 199, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    12. Massimiliano Bratti, 2003. "Labour force participation and marital fertility of Italian women: The role of education," Journal of Population Economics, Springer;European Society for Population Economics, vol. 16(3), pages 525-554, August.
    13. Joachim Wilde, 2008. "A note on GMM estimation of probit models with endogenous regressors," Statistical Papers, Springer, vol. 49(3), pages 471-484, July.

    More about this item

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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