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Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models

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  • Giampiero Marra
  • Rosalba Radice
  • Silvia Missiroli

Abstract

Lagrange multiplier and Wald tests for the hypothesis of absence of unobserved confounding are extended to the context of semiparametric recursive and sample selection bivariate probit models. The finite sample size properties of the tests are examined through a Monte Carlo study using several scenarios: correct model specification, distributional and functional misspecification, with and without an exclusion restriction. The simulation results provide some guidelines which may be important for empirical analysis. The tests are illustrated using two datasets in which the issue of unobserved confounding arises. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Giampiero Marra & Rosalba Radice & Silvia Missiroli, 2014. "Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models," Computational Statistics, Springer, vol. 29(3), pages 715-741, June.
    • Handle: RePEc:spr:compst:v:29:y:2014:i:3:p:715-741
    DOI: 10.1007/s00180-013-0458-x
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