A note on GMM-estimation of probit models with endogenous regressors
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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- 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.
- Riccardo LUCCHETTI, 2000.
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140, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
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CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Murphy, Kevin M & Topel, Robert H, 2002.
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American Statistical Association, vol. 20(1), pages 88-97, January.
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