| Abstract: | The purpose of the paper is to evaluate the relative performance of two generalized conditional moment (GCM) estimators in terms of their mean squared errors, for the Probit model with first-order serial correlation. The first estimator is a linearized one-step estimator described by Poirier and Ruud (1988). The second one is defined in the present paper. Monte Car10 experiments suggest that the GCM estimators outperform the ordinary Probit estimator. The two GCM estimators do almost equally well, except that the second one may be easier to calculate, especially in large samples. |
