Review of Economic Studies Vol. 55 No. 4 1988

Probit with Dependent Observations

Dale J. Poirier¹; Paul A. Ruud²

¹ University of Toronto · ² University of California, Berkeley

Abstract

Estimation of limited dependent variable models with dependent observations has received relatively little attention due to the computational complexity of the maximum likelihood estimator. We develop a computationally attractive and relatively efficient estimator for this case that utilises the orthogonality conditions. The resulting Generalized Conditional Moment (GCM) estimators can be applied with a known or an unknown disturbance covariance matrix. Although the paper considers only the probit model, the approach is easily generalized to other limited dependent variable models.

DOI

10.2307/2297407

Volume

55

Issue

4

Pages

593

Sources

crossref bibtex:phds-export.bib openalex

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