A note on GMM-estimation of probit models with endogenous regressors / Joachim Wilde
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Discovery
500984093
URN
urn:nbn:de:gbv:3:2-5214
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle : Inst. für Wirtschaftsforschung, 2005
Umfang
Online-Ressource (Text, 76 KB)
Ausgabevermerk
Sprache
eng
Anmerkungen
Inhaltliche Zusammenfassung
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.
Schriftenreihe
IWH-Diskussionspapiere ; 2005,4 ppn:37244492X