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Weighted least squares estimation of the linear probability model, revisited

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
32
Issue
1
Identifiers
DOI: 10.1016/0165-1765(90)90046-4

Abstract

Abstract Efficient GLS estimation of the linear probability model is hindered in practice by the possibility that predicted probabilities may yield some negative point variance estimates. This note proposes an alternative estimator may sometimes yield efficiency gains over OLS and will in general be efficient relative to alternative estimators that have been proposed.

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