English, Article, Journal or magazine article edition: Inconsistency Of Naive GMM Estimation For QR Models With Endogenous Regressors Riccardo LUCCHETTI

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Bookmark: http://trove.nla.gov.au/version/18934
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Inconsistency Of Naive GMM Estimation For QR Models With Endogenous Regressors
Author
  • Riccardo LUCCHETTI
Physical Description
  • preprint
Notes
  • A naive GMM approach to estimating QR (logit and probit) models with endogenous explanatory variables can lead to inconsistent estimators. This result was previously shown by Dagenais via simulation. In this paper, a special case is presented for which an analytical proof is possible; it turns out that the estimator is indeed inconsistent, but the framework analysed here can be useful for hypothesis testing. Un approccio GMM `naive' per la stima di modelli QR con regressori endogeni porta a stimatori inconsistenti. Questo risultato, ottenuto via simulazione da Dagenais, viene qui provato analiticamente in un caso particolare. Si ha che lo stimatore in effetti inconsitente, ma pu essere di una qualche utilit per la prova di ipotesi.
  • RePEc:anc:wpaper:140
Language
  • English
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