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| Tekijä: | Inkmann, J. |
| Otsikko: | Misspecified heteroskedasticity in the panel probit model: a small sample comparison of GMM and SML estimators |
| Lehti: | Journal of Econometrics
2000 : AUG, VOL. 97:2, p. 227-260 |
| Asiasana: | PROBIT MODELS HETEROSCEDASTICITY MONTE CARLO TECHNIQUE |
| Kieli: | eng |
| Tiivistelmä: | This paper compares generalized method of moments (GMM) and simulated maximum-likelihood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance- covariance matrix of the latent normal regression model. Particular attention is paid to a three-stage GMM estimator based on nonparametric estimation of the optimal instruments for given conditional moment functions. |
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