Poirier, Dale J.; Ruud, Paul A. Probit with dependent observations. (English) Zbl 0652.62026 Rev. Econ. Stud. 55, No. 4, 593-614 (1988). The paper is devoted to the estimation of limited dependent variable models with dependent observations. This topic has received relatively little attention due to the computational complexity of the maximum likelihood estimator. A computationally attractive and relatively efficient alternative utilizing orthogonality conditions is developed. The resulting generalized conditional moment estimators can be applied with a known or an unknown disturbance covariance matrix. Although the paper considers only the probit model, the approach may be generalized to other limited dependent models. Reviewer: J.Lillestøl Cited in 12 Documents MSC: 62F10 Point estimation 62J99 Linear inference, regression 62P20 Applications of statistics to economics Keywords:estimation of limited dependent variable models; dependent observations; maximum likelihood estimator; orthogonality conditions; generalized conditional moment estimators; probit model PDFBibTeX XMLCite \textit{D. J. Poirier} and \textit{P. A. Ruud}, Rev. Econ. Stud. 55, No. 4, 593--614 (1988; Zbl 0652.62026) Full Text: DOI