A Simple Estimator for Binary Choice Models with Endogenous Regressors
Abstract
This paper provides a few variants of a simple estimator for binary choice models with endogenous or mismeasured regressors, or with heteroskedastic errors. Unlike control function methods, which are generally only valid when endogenous regressors are continuous, the estimators proposed here can be used with limited, censored, continuous, or discrete endogenous regressors, and they allow for latent errors having heteroskedasticity of unknown form, including random coefficients. The variants of special regressor based estimators we provide are numerically trivial to implement. We illustrate these methods with an empirical application estimating migration probabilities within the US.Download Info
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Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 604.Length:
Date of creation: 31 Aug 2004
Date of revision: 15 Jun 2012
Handle: RePEc:boc:bocoec:604
Note: Previously circulated as "Simple Estimators for Binary Choice Models with Endogenous Regressors"
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Keywords: Binary choice; Binomial Response; Endogeneity; Measurement Error; Heteroskedasticity; discrete endogenous; censored; random coefficients; Identification; Latent Variable Model.;Other versions of this item:
- Yingying Dong & Arthur Lewbel, 2012. "A Simple Estimator for Binary Choice Models With Endogenous Regressors," Boston College Working Papers in Economics 807, Boston College Department of Economics.
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-18 (All new papers)
- NEP-DCM-2004-10-18 (Discrete Choice Models)
- NEP-ECM-2004-10-18 (Econometrics)
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Yingying Dong & Arthur Lewbel & Thomas Tao Yang, 2012. "Comparing Features of Convenient Estimators for Binary Choice Models With Endogenous Regressors," Boston College Working Papers in Economics 789, Boston College Department of Economics, revised 15 May 2012.
- Olfa KAMMOUN & Mohieddine RAHMOUNI, 2013. "Intellectual Property Rights, Appropriation Instruments and Innovation Activities: Evidence from Tunisian Firms," Cahiers du GREThA 2013-01, Groupe de Recherche en Economie Théorique et Appliquée.
- Benfratello, Luigi & Schiantarelli, Fabio & Sembenelli, Alessandro, 2006.
"Banks and Innovation: Microeconometric Evidence on Italian Firms,"
IZA Discussion Papers
2032, Institute for the Study of Labor (IZA).
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- Luigi Benfratello & Fabio Schiantarelli & Alessandro Sembenelli, 2005. "Banks and Innovation: Microeconometric Evidence on Italian Firms," Boston College Working Papers in Economics 631, Boston College Department of Economics, revised 13 Jun 2007.
- Arnab Bhattacharjee & Sean Holly, 2010.
" Understanding Interactions in Social Networks and Committees,"
CDMA Working Paper Series
1004, Centre for Dynamic Macroeconomic Analysis.
- Bhattacharjee, A. & Holly, S., 2010. "Understanding Interactions in Social Networks and Committees," Cambridge Working Papers in Economics 1003, Faculty of Economics, University of Cambridge.
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