Inconsistency of naive GMM estimation for QR models with endogenous regressors

In this paper, Grogger’s GMM estimator for logit and probit models with endogenous explanatory variables is shown analytically to be inconsistent, as was recently conjectured by Dagenais [Economics Letters 63 (1999) 19]. However, despite the estimator’s inconsistency, the framework analysed here may be useful for hypothesis testing, although with a different scope from Grogger’s original proposal.