A note on GMM-estimation of probit models with endogenous regressors / Joachim Wilde
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A note on GMM-estimation of probit models with endogenous regressors
Discovery
500984093
URN
urn:nbn:de:gbv:3:2-5214
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Publication history
Halle : Inst. für Wirtschaftsforschung, 2005
Content
Online-Ressource (Text, 76 KB)
Edition
Language
eng
Comment
Abstract
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.
Series
IWH-Diskussionspapiere ; 2005,4 ppn:37244492X