Weak identification in probit models with endogenous covariates

DOI10.1007/S10182-018-0325-8MaRDI QIDQ2316752zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Marie Dufour, Joachim Wilde

Publication date 6 August 2019

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://web.fb9.uni-osnabrueck.de/repec/iee/wpaper/13620406_WP_95_IEW.pdf

zbMATH Keywords

robustprobit modelweak identification\(z\)-test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03)

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Cites work

• A note on GMM estimation of probit models with endogenous regressors
• GMM estimation and uniform subvector inference with possible identification failure
• Inference in limited dependent variable models robust to weak identification
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing Parameters in GMM Without Assuming that They Are Identified

Cited in

(3)

• Identification of multiple equation probit models with endogenous dummy regressors
• The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence
• On weak identification in structural VARMA models

Describes a project that uses

Uses Software

• R

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