A note on GMM estimation of probit models with endogenous regressors

DOI10.1007/S00362-006-0027-2zbMath1310.62124OpenAlexW2044585903MaRDI QIDQ946256

Joachim Wilde

Publication date: 22 September 2008

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://www.iwh-halle.de/d/publik/disc/4-05.pdf

zbMATH Keywords

generalized method of momentsprobit modelendogenous regressor

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) General nonlinear regression (62J02)

Related Items (2)

Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates ⋮ Weak identification in probit models with endogenous covariates

Cites Work

• Unnamed Item
• Limited information estimators and exogeneity tests for simultaneous probit models
• Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors
• A simple test for exogeneity in probit, logit, and Poisson regression models
• Multiperiod Probit Models and Orthogonality Condition Estimation
• Endogeneity in Semiparametric Binary Response Models
• Inconsistency of naive GMM estimation for QR models with endogenous regressors.

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