A note on GMM-estimation of probit models with endogenous regressors

Joachim Wilde

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 : Inst. für Wirtschaftsforschung
Subject:	Schätztheorie \| Estimation theory \| Theorie \| Theory \| Probit-Modell \| Probit model \| Momentenmethode \| Method of moments

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Extent:	Online-Ressource (Text, 76 KB)
Series:	IWH-Diskussionspapiere. - Halle, S. : IWH, ISSN 2194-2188, ZDB-ID 2125062-5. - Vol. 2005,4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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