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Probit with Dependent Observations

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  • Dale J. Poirier and Paul A. Ruud.

Abstract

Estimation of limited dependent variable models with dependent observations has received relatively little attention due to the computational complexity of the maximum likelihood estimator. We develop a computationally attractive and relatively efficient estimator for this case that utilises the orthogonality conditions. The resulting Generalized Conditional Moment (GCM) estimators can be applied with a known or an unknown disturbance covariance matrix. Although the paper considers only the probit model, the approach is easily generalized to other limited dependent variable models.
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Suggested Citation

  • Dale J. Poirier and Paul A. Ruud., 1987. "Probit with Dependent Observations," Economics Working Papers 8734, University of California at Berkeley.
    • Handle: RePEc:ucb:calbwp:8734
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