A note on GMM-estimation of probit models with endogenous regressors
Joachim Wilde
IWH Discussion Papers,
No. 4,
2005
Abstract
Dagenais (1999) and Lucchetti (2002) have demonstrated that the naive GMM estimator of Grogger (1990) for the probit model with an endogenous regressor is not consistent. This paper completes their discussion by explaining the reason for the inconsistency and presenting a natural solution. Furthermore, the resulting GMM estimator is analyzed in a Monte-Carlo simulation and compared with alternative estimators.
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Measurement of Contagion in Banks' Equity Prices
Reint E. Gropp, G. Moerman
Journal of International Money and Finance,
No. 3,
2004
Abstract
This paper uses the co-incidence of extreme shocks to banks’ risk to examine within-country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper examines whether the observed frequency of large shocks experienced by two or more banks simultaneously is consistent with the assumption of a multivariate normal or a student t distribution. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify “systemically important” banks in the EU.
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