A note on GMM estimation of probit models with endogenous regressors
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
DOI: 10.1007/s00362-006-0027-2
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Wilde, Joachim, 2005. "A note on GMM-estimation of probit models with endogenous regressors," IWH Discussion Papers 4/2005, Halle Institute for Economic Research (IWH).
References listed on IDEAS
- Avery, Robert B & Hansen, Lars Peter & Hotz, V Joseph, 1983. "Multiperiod Probit Models and Orthogonality Condition Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 21-35, February.
- Richard W. Blundell & James L. Powell, 2004.
"Endogeneity in Semiparametric Binary Response Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(3), pages 655-679.
- Richard Blundell & James L. Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Richard Blundell & James L. Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers 05/01, Institute for Fiscal Studies.
- Murphy, Kevin M & Topel, Robert H, 2002.
"Estimation and Inference in Two-Step Econometric Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 88-97, January.
- Murphy, Kevin M & Topel, Robert H, 1985. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 370-379, October.
- Lucchetti, Riccardo, 2002.
"Inconsistency of naive GMM estimation for QR models with endogenous regressors,"
Economics Letters, Elsevier, vol. 75(2), pages 179-185, April.
- Riccardo LUCCHETTI, 2000. "Inconsistency Of Naive GMM Estimation For QR Models With Endogenous Regressors," Working Papers 140, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Rivers, Douglas & Vuong, Quang H., 1988. "Limited information estimators and exogeneity tests for simultaneous probit models," Journal of Econometrics, Elsevier, vol. 39(3), pages 347-366, November.
- Daiji Kawaguchi & Hisahiro Naito, 2005. "The efficient moment estimation of the probit model with an endogenous continuous regressor," Hi-Stat Discussion Paper Series d05-106, Institute of Economic Research, Hitotsubashi University.
- Grogger, Jeffrey, 1990. "A simple test for exogeneity in probit, logit, and poisson regression models," Economics Letters, Elsevier, vol. 33(4), pages 329-332, August.
- Dagenais, Marcel G., 1999. "Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors," Economics Letters, Elsevier, vol. 63(1), pages 19-21, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Francesca Modena & Fabio Sabatini, 2012.
"I would if I could: precarious employment and childbearing intentions in Italy,"
Review of Economics of the Household, Springer, vol. 10(1), pages 77-97, March.
- Francesca Modena & Fabio Sabatini, 2010. "I Would if I Could: Precarious Employment and Childbearing Intentions in Italy," Department of Economics Working Papers 1013, Department of Economics, University of Trento, Italia.
- Modena, Francesca & Sabatini, Fabio, 2010. "I Would if I Could: Precarious Employment and Childbearing Intentions in Italy," MPRA Paper 26117, University Library of Munich, Germany.
- Jean-Marie Dufour & Joachim Wilde, 2018.
"Weak identification in probit models with endogenous covariates,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(4), pages 611-631, October.
- Jean-Marie Dufour & Joachim Wilde, 2013. "Weak Identification in Probit Models with Endogenous Covariates," IEER Working Papers 95, Institute of Empirical Economic Research, Osnabrueck University, revised 28 Feb 2013.
- Francesca Modena & Concetta Rondinelli & Fabio Sabatini, 2014.
"Economic Insecurity and Fertility Intentions: The Case of Italy,"
Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(S1), pages 233-255, May.
- Modena, Francesca & Rondinelli, Concetta & Sabatini, Fabio, 2012. "Economic insecurity and fertility intentions: the case of Italy," MPRA Paper 36353, University Library of Munich, Germany.
- Francesca Modena & Concetta Rondinelli & Fabio Sabatini, 2012. "Economic insecurity and fertility intentions: the case of Italy," EERI Research Paper Series EERI_RP_2012_18, Economics and Econometrics Research Institute (EERI), Brussels.
- Francesca Modena & Concetta Rondinelli & Fabio Sabatini, 2013. "Economic insecurity and fertility intentions: the case of Italy," Temi di discussione (Economic working papers) 931, Bank of Italy, Economic Research and International Relations Area.
- Mili, Mehdi & Sahut, Jean-Michel & Trimeche, Hatem & Teulon, Frédéric, 2017. "Determinants of the capital adequacy ratio of foreign banks’ subsidiaries: The role of interbank market and regulation," Research in International Business and Finance, Elsevier, vol. 42(C), pages 442-453.
- Qian Chen & David Giles, 2012.
"Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates,"
Statistical Papers, Springer, vol. 53(2), pages 409-426, May.
- Qian Chen & David E. Giles, 2009. "Finite-Sample Properties of the Maximum Likelihood Estimator for the Binary Logit Model With Random Covariates," Econometrics Working Papers 0906, Department of Economics, University of Victoria.
- repec:gig:joupla:v:6:y:2014:i:3:p:129-158 is not listed on IDEAS
- Tinaikar, Surjit & Xu, Bo, 2023. "Does competition exacerbate investment inefficiencies? Evidence from Japanese firms," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 35-53.
- Austin Nichols, 2011. "Causal inference for binary regression with observational data," CHI11 Stata Conference 6, Stata Users Group.
- Daniela Benavente, 2010. "Constraining and supporting effects of the multilateral trading system on U.S. unilateralism," IHEID Working Papers 09-2010, Economics Section, The Graduate Institute of International Studies.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Daiji Kawaguchi & Yukitoshi Matsushita & Hisahiro Naito, 2017.
"Moment Estimation of the Probit Model with an Endogenous Continuous Regressor,"
The Japanese Economic Review, Japanese Economic Association, vol. 68(1), pages 48-62, March.
- Daiji Kawaguchi & Yukitoshi Matsushita & Hisahiro Naito, 2017. "Moment Estimation of the Probit Model with an Endogenous Continuous Regressor," The Japanese Economic Review, Springer, vol. 68(1), pages 48-62, March.
- Daiji Kawaguchi & Yukitoshi Matsushita & Hisahiro Naito, 2015. "Moment Estimation of the Probit Model with an Endogenous Continuous Regressor," Tsukuba Economics Working Papers 2015-003, Faculty of Humanities and Social Sciences, University of Tsukuba.
- Daiji Kawaguchi & Hisahiro Naito, 2005. "The efficient moment estimation of the probit model with an endogenous continuous regressor," Hi-Stat Discussion Paper Series d05-106, Institute of Economic Research, Hitotsubashi University.
- Massimiliano Bratti, 2003.
"Labour force participation and marital fertility of Italian women: The role of education,"
Journal of Population Economics, Springer;European Society for Population Economics, vol. 16(3), pages 525-554, August.
- Massimiliano BRATTI, 2001. "Labour Force Participation and Marital Fertility of Italian Women: The Role of Education," Working Papers 154, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Bratti, Massimiliano, 2002. "Labour Force Participation and Marital Fertility of Italian Women: The Role of Education," Royal Economic Society Annual Conference 2002 34, Royal Economic Society.
- Lee C. Adkins, 2009. "An Instrumental Variables Probit Estimator Using Gretl," EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 4, pages 59-74, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
- Hongxiu Li, 2017. "Innovation as Adaptation to Natural Disasters," Working Papers 1709, University of Waterloo, Department of Economics, revised Nov 2017.
- Ashworth, John & Geys, Benny & Heyndels, Bruno, 2006. "Determinants of tax innovation: The case of environmental taxes in Flemish municipalities," European Journal of Political Economy, Elsevier, vol. 22(1), pages 223-247, March.
- Iversen, Vegard, 2002. "Autonomy in Child Labor Migrants," World Development, Elsevier, vol. 30(5), pages 817-834, May.
- Lee C. Adkins, 2008. "Small Sample Performance of Instrumental Variables Probit Estimators: A Monte Carlo Investigation," Economics Working Paper Series 0807, Oklahoma State University, Department of Economics and Legal Studies in Business.
- Kim, Sung-Yong & Nayga, Rodolfo M. & Capps, Oral, 2001.
"Health Knowledge and Consumer Use of Nutritional Labels: The Issue Revisited,"
Agricultural and Resource Economics Review, Cambridge University Press, vol. 30(1), pages 10-19, April.
- Kim, Sung-Yong & Nayga, Rodolfo M., Jr. & Capps, Oral, Jr., 2001. "Health Knowledge And Consumer Use Of Nutritional Labels: The Issue Revisited," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 30(1), pages 1-10, April.
- Jinhyun Lee, 2013. "A Consistent Nonparametric Bootstrap Test of Exogeneity," Discussion Paper Series, School of Economics and Finance 201316, School of Economics and Finance, University of St Andrews.
- Francesca Modena & Fabio Sabatini, 2012.
"I would if I could: precarious employment and childbearing intentions in Italy,"
Review of Economics of the Household, Springer, vol. 10(1), pages 77-97, March.
- Modena, Francesca & Sabatini, Fabio, 2010. "I Would if I Could: Precarious Employment and Childbearing Intentions in Italy," MPRA Paper 26117, University Library of Munich, Germany.
- Francesca Modena & Fabio Sabatini, 2010. "I Would if I Could: Precarious Employment and Childbearing Intentions in Italy," Department of Economics Working Papers 1013, Department of Economics, University of Trento, Italia.
- Jarke-Neuert, Johannes & Perino, Grischa & Schwickert, Henrike, 2021.
"Free-Riding for Future: Field Experimental Evidence of Strategic Substitutability in Climate Protest,"
SocArXiv
sh6dm, Center for Open Science.
- Johannes Jarke-Neuert & Grischa Perino & Henrike Schwickert, 2021. "Free-Riding for Future: Field Experimental Evidence of Strategic Substitutability in Climate Protest," Papers 2112.09478, arXiv.org.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016.
"Semiparametric Estimation With Generated Covariates,"
Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric estimation with generated covariates," Working Paper Series in Economics 81, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2014. "Semiparametric Estimation with Generated Covariates," SFB 649 Discussion Papers 2014-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Yingying Dong & Arthur Lewbel, 2015.
"A Simple Estimator for Binary Choice Models with Endogenous Regressors,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 82-105, February.
- Yingying Dong & Arthur Lewbel, 2004. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Boston College Working Papers in Economics 604, Boston College Department of Economics, revised 15 Jun 2012.
- Yingying Dong & Arthur Lewbel, 2012. "Simple Estimators for Binary Choice Models with Endogenous Regressors," Working Papers 111204, University of California-Irvine, Department of Economics.
- Yingying Dong & Arthur Lewbel, 2012. "A Simple Estimator for Binary Choice Models With Endogenous Regressors," Boston College Working Papers in Economics 807, Boston College Department of Economics.
- Manuel Denzer, 2019. "Estimating Causal Effects in Binary Response Models with Binary Endogenous Explanatory Variables - A Comparison of Possible Estimators," Working Papers 1916, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
- Filippo Pericoli & Luigi Ventura, 2012.
"Family dissolution and precautionary savings: an empirical analysis,"
Review of Economics of the Household, Springer, vol. 10(4), pages 573-595, December.
- Pericoli, Filippo Maria & Ventura, Luigi, 2011. "Family dissolution and precautionary savings: an empirical analysis," MPRA Paper 36354, University Library of Munich, Germany.
- Elia Lapenta, 2022. "A Bootstrap Specification Test for Semiparametric Models with Generated Regressors," Papers 2212.11112, arXiv.org, revised Oct 2023.
- Geert Dhaene & Koen Jochmans, 2015.
"Split-panel Jackknife Estimation of Fixed-effect Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
- Geert Dhaene & Koen Jochmans, 2010. "Split-panel jackknife estimation of fixed-effect models," Working Papers hal-03627120, HAL.
- Geert Dhaene & Koen Jochmans, 2015. "Split-panel jackknife estimation of fixed-effect models," Post-Print hal-03392997, HAL.
- Geert Dhaene & Koen Jochmans, 2014. "Split-Panel Jackknife Estimation of Fixed-Effect Models," SciencePo Working papers hal-01070553, HAL.
- Geert Dhaene & Koen Jochmans, 2014. "Split-Panel Jackknife Estimation of Fixed-Effect Models," Working Papers hal-01070553, HAL.
- Geert Dhaene & Koen Jochmans, 2014. "Split-Panel Jackknife Estimation of Fixed-Effect Models," SciencePo Working papers Main hal-01070553, HAL.
- DHAENE, Geert & JOCHMANS, Koen, 2010. "Split-panel jackknife estimation of fixed-effect models," LIDAM Discussion Papers CORE 2010003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Geert Dhaene & Koen Jochmans, 2015. "Split-panel jackknife estimation of fixed-effect models," SciencePo Working papers Main hal-03392997, HAL.
- Furtado, Delia & Hock, Heinrich, 2008. "Immigrant Labor, Child-Care Services, and the Work-Fertility Trade-Off in the United States," IZA Discussion Papers 3506, Institute of Labor Economics (IZA).
- Bluhm R & Crombrugghe D.P.I. de & Szirmai A., 2013. "The pace of poverty reduction - A fractional response approach," MERIT Working Papers 2013-051, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
More about this item
Keywords
Generalized method of moments; Probit model; Endogenous regressor;All these keywords.
JEL classification:
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:49:y:2008:i:3:p:471-484. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.