Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23743 
Authors: 
Year of Publication: 
2005
Series/Report no.: 
IWH Discussion Papers No. 4/2005
Publisher: 
Leibniz-Institut für Wirtschaftsforschung Halle (IWH), Halle (Saale)
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

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