Arbeitspapier
A note on GMM-estimation of probit models with endogenous regressors
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IWH Discussion Papers ; No. 4/2005
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- Thema
-
generalized method of moments
probit model
endogenous regressor
Probit-Modell
Momentenmethode
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wilde, Joachim
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
- (wo)
-
Halle (Saale)
- (wann)
-
2005
- Handle
- URN
-
urn:nbn:de:gbv:3:2-5214
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Wilde, Joachim
- Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Entstanden
- 2005
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