A characterization of endogeneity in the binomial regression model is given. The relationship to a model subject to selection is indicated. Maximum likelihood and nonlinear instrumental variable estimators are obtained and evaluated in a Monte Carlo study. A new LM test and a Hausman test against endogeneity are also evaluated. Maximum likelihood estimation based on an instrumental variable and the LM test are found to perform well. An illustration based on choice set sizes for Swedish unemployed is included.
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Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number
440.
Length: 11 pages Date of creation: 15 Dec 1997 Date of revision: Handle: RePEc:hhs:umnees:0440
Contact details of provider: Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden Phone: 090 - 786 61 42 Fax: 090 - 77 23 02 Email: Web page: http://www.econ.umu.se/ More information through EDIRC
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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 C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
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