Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators

DOI10.1016/S0304-4076(99)00070-6zbMath0957.62103OpenAlexW1518455252MaRDI QIDQ1586558

Joachim Inkmann

Publication date: 29 March 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00070-6

zbMATH Keywords

heteroskedasticityconditional moment restrictionsproduct innovationsoptimal instrumentsGHK simulatork-nearest neighbor estimationpanel probit modelMonte Carlo evidence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (3)

Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects ⋮ Simulated classical tests in multinomial probit models ⋮ Estimating multiple equation hybrid models with endogenous dummy regressors*

Uses Software

• AS 70

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Simulation-based inference. A survey with special reference to panel data models
• Consistent nonparametric regression. Discussion
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Convenient estimators for the panel probit model
• Efficient estimation of panel data models with sequential moment restrictions
• Asymptotic efficiency in estimation with conditional moment restrictions
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Multiperiod Probit Models and Orthogonality Condition Estimation
• Efficient Instrumental Variables Estimation of Nonlinear Models
• Simulation and the Asymptotics of Optimization Estimators
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Hypothesis Testing with Efficient Method of Moments Estimation
• A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model
• A Computationally Practical Simulation Estimator for Panel Data
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Information Theoretic Approaches to Inference in Moment Condition Models
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Random Numbers Generated by Linear Recurrence Modulo Two
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

This page was built for publication: Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators