Inconsistency of naive GMM estimation for QR models with endogenous regressors

Economics Letters

Volumn 75, Issue 2, 2002, Pages 179-185

  Lucchetti, Riccardo ^a  

^a UNIVERSITÀ POLITECNICA DELLE MARCHE   (Italy)

Author keywords

GMM; Probit; QR models

Indexed keywords

EID: 0036019638     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00623-1     Document Type: Article

References (5)

1. Covariance matrix estimation
2. Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors
3. A simple test for exogeneity in probit, logit, and Poisson regression models
4. Introduction to the generalized method of moments estimation
5. Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables