Endogenous variables in non-linear models with mixed effects: Inconsistence under perfect identification conditions?
AbstractThis paper examines the consequences of introducing a normally distributed effect into a system where the dependent variable is ordered and the explanatory variable is ordered and endogenous. Using simulation techniques we show that a naïve bivariate ordered probit estimator which fails to take a mixed effect into account will result in inconsistent estimates even when identification conditions are optimal. Our results suggest this finding only applies to non-linear endogenous systems.
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Bibliographic InfoPaper provided by Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics in its series Jena Economic Research Papers with number 2013-027.
Date of creation: 01 Jul 2013
Date of revision:
bivariate probit; bivariate ordered probit; mixed effects; endogenous binary variables; constant parameters;
Find related papers by JEL classification:
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-15 (All new papers)
- NEP-DCM-2013-07-15 (Discrete Choice Models)
- NEP-ECM-2013-07-15 (Econometrics)
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