Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23743
Authors: 
Wilde, Joachim
Year of Publication: 
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: 
Document Type: 
Working Paper

Files in This Item:
File
Size
75.63 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.