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Inference in limited dependent variable models robust to weak identification

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  • Leandro M. Magnusson

Abstract

We propose tests for structural parameters in limited dependent variable models with endogenous explanatory variables. These tests are based upon the generalized minimum distance principle. They are of the correct size regardless of whether the structural parameters are identified and are especially appropriate for models whose moment conditions are non-linear in the parameters. Moreover, they are computationally simple, allowing them to be implemented using a large number of statistical software packages. We compare our tests to Wald tests in a simulation experiment and use them to analyse the female labour supply and the demand for cigarettes. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 13 (2010)
Issue (Month): 3 (October)
Pages: S56-S79

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Handle: RePEc:ect:emjrnl:v:13:y:2010:i:3:p:s56-s79

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Cited by:
  1. Stephen C. Smith & M. Shahe Emran & Fenohasina Maret, 2009. "Education and Freedom of Choice: Evidence from Arranged Marriages in Vietnam," Working Papers 2009-15, The George Washington University, Institute for International Economic Policy.
  2. Jean-Marie Dufour & Joachim Wilde, 2013. "Weak Identification in Probit Models with Endogenous Covariates," Working Papers 95, Institute of Empirical Economic Research, revised 28 Feb 2013.
  3. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Working Papers 13-10, Bank of Canada.

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