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A note on GMM-estimation of probit models with endogenous regressors

Listed author(s):
  • Joachim Wilde

Dagenais (1999) and Lucchetti (2002) have demonstrated that the naive GMM estimator of Grogger (1990) for the probit model with an endogenous regressor is not consistent. This paper completes their discussion by explaining the reason for the inconsistency and presenting a natural solution. Furthermore, the resulting GMM estimator is analyzed in a Monte-Carlo simulation and compared with alternative estimators.

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File URL: http://www.iwh-halle.de/d/publik/disc/4-05.pdf
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Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 4.

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Date of creation: Sep 2005
Handle: RePEc:iwh:dispap:4-05
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