In this paper, we consider GMM estimation of the regression and MRSAR models with SAR disturbances. We derive the best GMM estimator within the class of GMM estimators based on linear and quadratic moment conditions. The best GMM estimator has the merit of computational simplicity and asymptotic...

Empirical researchers usually prefer statistical models that can be easily estimated with the help of commonly available software packages. Sequential binary models with or without normal random effects are an example of such models that can be adopted to estimate discrete duration models with...