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Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study

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  • Chiara Monfardini
  • Rosalba Radice

Abstract

We conduct an extensive Monte Carlo experiment to examine the finite sample properties of maximum‐likelihood‐based inference in the bivariate probit model with an endogenous dummy. We analyse the relative performance of alternative exogeneity tests, the impact of distributional misspecification and the role of exclusion restrictions to achieve parameter identification in practice. The results allow us to infer important guidelines for applied econometric practice.

Suggested Citation

  • Chiara Monfardini & Rosalba Radice, 2008. "Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 271-282, April.
    • Handle: RePEc:bla:obuest:v:70:y:2008:i:2:p:271-282
    DOI: 10.1111/j.1468-0084.2007.00486.x
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