A note on GMM-estimation of probit models with endogenous regressors
Joachim Wilde
Statistical Papers,
No. 3,
2008
Abstract
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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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Estimating multiple equation hybrid models with endogenous dummy regressors
Joachim Wilde
Statistica Neerlandica,
No. 58,
2004
Abstract
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Simultaneity in multiple equation hybrid models with endogenous dummy regressors
Joachim Wilde
Allgemeines Statistisches Archiv,
No. 2,
2001
Abstract
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Identification of multiple equation probit models with endogenous dummy regressors
Joachim Wilde
Economics Letters,
No. 69,
2000
Abstract
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