Probit with Dependent Observations

Dale J. Poirier and Paul Ruud

The Review of Economic Studies, 1988, vol. 55, issue 4, 593-614

Abstract: Estimation of limited dependent variable models with dependent observations has received relatively little attention due to the computational complexity of the maximum likelihood estimator. We develop a computationally attractive and relatively efficient estimator for this case that utilises the orthogonality conditions. The resulting Generalized Conditional Moment (GCM) estimators can be applied with a known or an unknown disturbance covariance matrix. Although the paper considers only the probit model, the approach is easily generalized to other limited dependent variable models.

Date: 1988
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Working Paper: Probit with Dependent Obervations (1987)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:55:y:1988:i:4:p:593-614.

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