A Simple Estimator For Simultaneous Models With Censored Endogenous Regressors
AbstractThis paper presents a simple two step estimator for models with censored endogenous regressors and sample selection bias. The approach unifies the literature on censored endogenous regressors and sample selection bias and provides extensions. The procedure employs generalized residuals to adjust for the inconsistency caused.by the endogeneity of the censored regressors. The paper also provides two new tests of weak exogeneity. An empirical example, examining the trade-off between fringe benefits and wages, indicates that the estimation procedure works well. A Monte Carlo experiment suggests that the proposed tests have good power properties. Copyright 1993 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 199.
Length: 42 pages
Date of creation: 1989
Date of revision:
Contact details of provider:
Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.
testing ; data analysis ; econometrics;
Other versions of this item:
- Vella, Francis, 1993. "A Simple Estimator for Simultaneous Models with Censored Endogenous Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(2), pages 441-57, May.
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