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Parametric Nonlinear Regression with Endogenous Switching

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  • Joseph Terza

Abstract

Based on the insightful work of Olsen (1980) for the linear context, a generic and unifying framework is developed that affords a simple extension of the classical method of Heckman (1974, 1976, 1978, 1979) to a broad class of nonlinear regression models involving endogenous switching and its two most common incarnations, endogenous sample selection and endogenous treatment effects. The approach should be appealing to applied researchers for three reasons. First, econometric applications involving endogenous switching abound. Secondly, the approach requires neither linearity of the regression function nor full parametric specification of the model. It can, in fact, be applied under the minimal parametric assumptions—i.e., specification of only the conditional means of the outcome and switching variables. Finally, it is amenable to relatively straightforward estimation methods. Examples of applications of the method are discussed.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 28 (2009)
Issue (Month): 6 ()
Pages: 555-580

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Handle: RePEc:taf:emetrv:v:28:y:2009:i:6:p:555-580

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Related research

Keywords: Sample selection; Treatment effects; Two-stage estimation;

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Cited by:
  1. William Greene, 2008. "A Stochastic Frontier Model with Correction for Sample Selection," Working Papers 08-9, New York University, Leonard N. Stern School of Business, Department of Economics.
  2. Rabbitt, Matthew P., 2013. "Measuring the Effect of Supplemental Nutrition Assistance Program Participation on Food Insecurity Using a Behavioral Rasch Selection Model," Working Papers 13-20, University of North Carolina at Greensboro, Department of Economics.
  3. Zhou, J., 2012. "Endogenous Lysine Strategy Profile and Cartel Duration: An Instrumental Variables Approach," Discussion Paper 2012-009, Tilburg University, Tilburg Law and Economic Center.
  4. Key, Nigel D. & McBride, William D., 2012. "Sub-therapeutic Antibiotics and the Efficiency of U.S. Hog Farms," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124725, Agricultural and Applied Economics Association.
  5. Terza, Joseph V. & Basu, Anirban & Rathouz, Paul J., 2008. "Two-stage residual inclusion estimation: Addressing endogeneity in health econometric modeling," Journal of Health Economics, Elsevier, vol. 27(3), pages 531-543, May.
  6. Terza, Joseph V. & Tsai, Wei-Der, 2006. "Censored Probit Estimation with Correlation near the Boundary: A Useful Reparameteriztion," Review of Applied Economics, Review of Applied Economics, vol. 2(1).

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