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Binary choice models with endogenous regressors

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Author Info

  • Christopher Baum

    ()
    (Boston College
    DIW Berlin)

  • Yingying Dong

    (University of California Irvine)

  • Arthur Lewbel

    (Boston College)

  • Tao Yang

    (Boston College)

Abstract

Dong and Lewbel have developed the theory of simple estimators for binary choice models with endogenous or mismeasured regressors, depending on a `special regressor' as defined by Lewbel (J. Econometrics, 2000). `Control function' methods such as Stata's ivprobit are generally only valid when endogenous regressors are consistent. The estimators proposed here can be used with limited, censored, continuous or discrete endogenous regressors, and have significant advantages over alternatives such as maximum likelihood and the linear probability model. These estimators are numerically straightforward to implement. We present and demonstrate an improved version of a Stata routine that provides both estimation and post-estimation features.

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File URL: http://fmwww.bc.edu/repec/san2012/baum.san2012.pdf
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Bibliographic Info

Paper provided by Stata Users Group in its series SAN12 Stata Conference with number 9.

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Date of creation: 01 Aug 2012
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Handle: RePEc:boc:scon12:9

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Web page: http://stata.com/meeting/sandiego12/
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Cited by:
  1. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
  2. Marcin Holda & Katarzyna Saczuk & Pawel Strzelecki & Robert Wyszynski, 2011. "Settlers and Guests - Determinants of the Plans of Return Migration from UK and Ireland to Poland in the Period 2007-2009," National Bank of Poland Working Papers 84, National Bank of Poland, Economic Institute.

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