A note on GMM estimation of probit models with endogenous regressors |
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Authors: | Joachim Wilde |
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Affiliation: | 1.Halle Institute of Economic Research,Halle,Germany |
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Abstract: | Dagenais in (Econ Lett 63:19–21, 1999) and Lucchetti in (Econ Lett 75:179–185, 2002) have demonstrated that the naive GMM estimator of Grogger in (Econ Lett 33:329–332, 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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Keywords: | Generalized method of moments Probit model Endogenous regressor |
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