Inconsistency of naive GMM estimation for QR models with endogenous regressors.

DOI10.1016/S0165-1765(01)00623-1zbMath1072.91622MaRDI QIDQ5958447

Riccardo Lucchetti

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

ProbitGMMQR models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

A note on GMM estimation of probit models with endogenous regressors

Cites Work

• Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors
• Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables
• A simple test for exogeneity in probit, logit, and Poisson regression models

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