Consider the probit model analyzed in Section 17.8. The model states that for given vector of independent variables, Prob[yi = 1 | xi ] = Ф [x iβ], Prob [yi = 0 | xi ] = 1 − Prob[yi = 1 | xi]. We have consideredmaximumlikelihood estimation of the parameters of this model at several points. Consider, instead, a GMM estimator based on the result that this suggests that we might base estimation on the orthogonality conditions construct a GMM estimator based on these results. Note that this is not the nonlinear least squares estimator. Explain—what would the orthogonality conditions be for nonlinear least squares estimation of this model? |
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