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

Joachim Wilde ()

No 4/2005, IWH Discussion Papers from Halle Institute for Economic Research (IWH)

Abstract: 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.

Keywords: generalized method of moments; probit model; endogenous regressor (search for similar items in EconPapers)
JEL-codes: C25 C35 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: A note on GMM estimation of probit models with endogenous regressors (2008)
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