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.

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Year of publication:	2005
Authors:	Wilde, Joachim
Publisher:	Halle (Saale) : Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Subject:	Probit-Modell \| Momentenmethode \| Schätztheorie \| Theorie \| generalized method of moments \| probit model \| endogenous regressor

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Series:	IWH Discussion Papers ; 4/2005
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	500984093 [GVK] hdl:10419/23743 [Handle] RePEc:zbw:iwhdps:iwh-4-05 [RePEc]
Classification:	C35 - Discrete Regression and Qualitative Choice Models ; C25 - Discrete Regression and Qualitative Choice Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263480