메뉴 건너뛰기




Volumn 49, Issue 3, 2008, Pages 471-484

A note on GMM estimation of probit models with endogenous regressors

Author keywords

Endogenous regressor; Generalized method of moments; Probit model

Indexed keywords


EID: 42449110798     PISSN: 09325026     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00362-006-0027-2     Document Type: Article
Times cited : (13)

References (15)
  • 1
    • 0002173542 scopus 로고
    • Multiperiod probit models and orthogonality condition estimation
    • Avery RB, Hansen LP, Hotz VJ (1983) Multiperiod probit models and orthogonality condition estimation. Int Econ Rev 24:21-35
    • (1983) Int Econ Rev , vol.24 , pp. 21-35
    • Avery, R.B.1    Hansen, L.P.2    Hotz, V.J.3
  • 2
    • 3843139615 scopus 로고    scopus 로고
    • Endogeneity in semiparametric binary response models
    • Blundell RW, Powell JL (2004) Endogeneity in semiparametric binary response models. Rev Econ Studies 71:655-679
    • (2004) Rev Econ Studies , vol.71 , pp. 655-679
    • Blundell, R.W.1    Powell, J.L.2
  • 3
    • 0002788813 scopus 로고
    • Simultaneous microeconometric models with censored or qualitative dependent variables
    • Maddala GS, Rao CR, Vinod HD (eds) North Holland, Amsterdam
    • Blundell RW, Smith RJ (1993) Simultaneous microeconometric models with censored or qualitative dependent variables. In: Maddala GS, Rao CR, Vinod HD (eds) Handbook of statistics vol 11. North Holland, Amsterdam
    • (1993) Handbook of Statistics Vol 11
    • Blundell, R.W.1    Smith, R.J.2
  • 4
    • 0033447954 scopus 로고    scopus 로고
    • Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors
    • Dagenais MG (1999) Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors. Econ Lett 63:19-21
    • (1999) Econ Lett , vol.63 , pp. 19-21
    • Dagenais, M.G.1
  • 5
    • 0004296209 scopus 로고    scopus 로고
    • 5 Prentice Hall Upper Saddle River
    • Greene W (2003) Econometric analysis, 5th edn. Prentice Hall, Upper Saddle River
    • (2003) Econometric Analysis
    • Greene, W.1
  • 6
    • 38249019590 scopus 로고
    • A simple test for exogeneity in probit, logit and Poisson regression models
    • Grogger J (1990) A simple test for exogeneity in probit, logit and Poisson regression models. Econ Lett 33:329-332
    • (1990) Econ Lett , vol.33 , pp. 329-332
    • Grogger, J.1
  • 7
    • 0010048726 scopus 로고    scopus 로고
    • Introduction to the generalized method of moments estimation
    • Cambridge University Press Cambridge
    • Harris D, Mátyás L (1999) Introduction to the generalized method of moments estimation. In: Mátyás L (ed) Generalized method of moments estimation. Cambridge University Press, Cambridge, pp 3-30
    • (1999) Generalized Method of Moments Estimation , pp. 3-30
    • Harris, D.1    Mátyás, L.2    Mátyás, L.3
  • 8
    • 42449152409 scopus 로고    scopus 로고
    • The efficient moment estimation of the probit model with an endogenous continuous regressor
    • Hitotsubashi University Tokyo
    • Kawaguchi D, Naito H (2005) The efficient moment estimation of the probit model with an endogenous continuous regressor, Hi-Stat Discussion Paper Series No. 106, Hitotsubashi University Tokyo
    • (2005) Hi-Stat Discussion Paper Series No. 106
    • Kawaguchi, D.1    Naito, H.2
  • 10
    • 0036019638 scopus 로고    scopus 로고
    • Inconsistency of naive GMM estimation for QR models with endogenous regressors
    • Lucchetti R (2002) Inconsistency of naive GMM estimation for QR models with endogenous regressors. Econ Lett 75:179-185
    • (2002) Econ Lett , vol.75 , pp. 179-185
    • Lucchetti, R.1
  • 12
    • 84952209977 scopus 로고
    • Estimation and inference in two-step econometric models
    • Murphy KM, Topel RH (1985) Estimation and inference in two-step econometric models. J Business Econ Stat 3:88-97
    • (1985) J Business Econ Stat , vol.3 , pp. 88-97
    • Murphy, K.M.1    Topel, R.H.2
  • 13
    • 70350096085 scopus 로고
    • Large sample estimation and hypothesis testing
    • Engle RF, McFadden DL (eds) North Holland, Amsterdam
    • Newey WK, McFadden DL (1994) Large sample estimation and hypothesis testing. In: Engle RF, McFadden DL (eds) Handbook of Econometrics, vol IV. North Holland, Amsterdam, pp 2111-2245
    • (1994) Handbook of Econometrics , vol.4 , pp. 2111-2245
    • Newey, W.K.1    McFadden, D.L.2
  • 14
    • 45449123614 scopus 로고
    • Limited information estimators and exogeneity tests for simultaneous probit models
    • Rivers D, Vuong QH (1988) Limited information estimators and exogeneity tests for simultaneous probit models. J Econom 39:347-366
    • (1988) J Econom , vol.39 , pp. 347-366
    • Rivers, D.1    Vuong, Q.H.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.