Endogeneity in Semiparametric Binary Response Models
AbstractThis paper develops and implements semiparametric methods for estimating binary response (binary choice) models with continuous endogenous regressors. It extends existing results on semiparametric estimation in single-index binary response models to the case of endogenous regressors. It develops a "control function" approach to account for endogeneity in triangular and fully simultaneous binary response models. The proposed estimation method is applied to estimate the income effect in a labour market participation problem using a large micro data-set from the British Family Expenditure Survey. The semiparametric estimator is found to perform well, detecting a significant attenuation bias. The proposed estimator is contrasted to the corresponding probit and linear probability specifications. Copyright 2004 The Review of Economic Studies Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal The Review of Economic Studies.
Volume (Year): 71 (2004)
Issue (Month): (07)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
Other versions of this item:
- Richard W. Blundell & James L. Powell, 2004. "Endogeneity in Semiparametric Binary Response Models," Review of Economic Studies, Oxford University Press, vol. 71(3), pages 655-679.
- Richard Blundell & James Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- J22 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Time Allocation and Labor Supply
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Blundell, Richard & Smith, Richard J., 1994. "Coherency and estimation in simultaneous models with censored or qualitative dependent variables," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 355-373.
- Whitney Newey & James Powell & Francis Vella, 1998.
"Nonparametric Estimation of Triangular Simultaneous Equations Models,"
98-16, Massachusetts Institute of Technology (MIT), Department of Economics.
- Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
- Whitney K. Newey & James L. Powell & Francis Vella, 1998. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Working papers 98-6, Massachusetts Institute of Technology (MIT), Department of Economics.
- Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July.
- Blundell, Richard W & Smith, Richard J, 1989. "Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models," Review of Economic Studies, Wiley Blackwell, vol. 56(1), pages 37-57, January.
- Richard Blundell & James Powell, 2001. "Endogeneity in nonparametric and semiparametric regression models," CeMMAP working papers CWP09/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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