This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Is neglected heterogeneity really an issue in nonlinear models? A simulation exercise for binary and fractional data

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Joaquim J.S. Ramalho () (Universidade de Évora – Departamento de Economia)
Esmeralda A. Ramalho () (Universidade de Évora – Departamento de Economia)

Additional information is available for the following registered author(s):

Abstract

In this paper we examine by simulation whether or not unobserved heterogeneity independent of the included regressors is really an issue in nonlinear single index models. We consider logit, probit and loglog models and both binary and fractional data. We found that unobserved heterogeneity: (i) produces an attenuation bias in the estimation of regression coefficients in all cases; (ii) is innocuous for logit estimation of average sample partial effects and relatively unimportant for the calculation of logit population partial effects, while in the probit and loglog cases there may be important biases in the estimation of those quantities; (iii) does not affect substantially the prediction of outcomes, particularly in the logit model; and (iv) is innocuous for the size of Wald tests for the significance of observed regressors but reduces their power substantially, specially in cases where the amount of heterogeneity is large and/or the sample size is small.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.cefage.uevora.pt/pt/content/download/1464/19197/version/1/file/2007_08.pdf
File Format: text/html
File Function:
Download Restriction: no

Publisher Info
Paper provided by University of Évora, CEFAGE-UE (Portugal) in its series CEFAGE-UE Working Papers with number 2007_08.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 18 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:cfe:wpcefa:2007_08

Contact details of provider:
Postal: Col�gio Esp�rito SANTO< Largo dos Colegiais 2, 7000-803 �vora
Phone: (351) 266 740 869
Email:
Web page: http://www.cefage.uevora.pt
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Angela Pacheco).

Related research
Keywords: Binary models neglected heterogeneity partial effects

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2008-7-17.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.