Probit with Dependent Observations

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 ort...

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Bibliographic Details
Published in:The Review of economic studies 1988-10, Vol.55 (4), p.593-614
Main Authors: Poirier, Dale J., Ruud, Paul A.
Format: Article
Language:English
Subjects:
Consistent estimators
Covariance matrices
Economic models
Economic theory
Estimation methods
Estimators
Mathematical vectors
Maximum likelihood estimation
Orthogonality
Preliminary estimates
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Summary: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.
ISSN:0034-6527
1467-937X
DOI:10.2307/2297407