Probit with Dependent Observations

S-Tier
Journal: Review of Economic Studies
Year: 1988
Volume: 55
Issue: 4
Pages: 593-614

Authors (2)

Dale J. Poirier (not in RePEc) Paul A. Ruud (Vassar College)

Score contribution per author:

4.022 = (α=2.01 / 2 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:oup:restud:v:55:y:1988:i:4:p:593-614.
Journal Field
General
Author Count
2
Added to Database
2026-01-29