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Title:A note on GMM-estimation of probit models with endogenous regressors PDF Logo
Authors:Wilde, Joachim
Issue Date:2005
Series/Report no.:Diskussionspapiere / Institut für Wirtschaftsforschung Halle 2005,4
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.
Subjects:generalized method of moments
probit model
endogenous regressor
JEL:C35
C25
Persistent Identifier of the first edition:urn:nbn:de:gbv:3:2-5214
Document Type:Working Paper
Appears in Collections:IWH-Diskussionspapiere, Institut für Wirtschaftsforschung Halle (IWH)
Publikationen von Forscherinnen und Forschern des IWH

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