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A note on the identification in two equations probit model with dummy endogenous regressor

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  • Romuald Meango
  • Ismael Mourifie

Abstract

This paper deals with the question whether exclusion restrictions on the exogenous regressors are necessary to identify two equation probit models with endogenous dummy regressor. Contradictory opinions have been exposed in the literature on the necessity of an exclusion restriction. Wilde (2000) argued that an exclusion restriction is not necessary, and proposed a simple criterion for identi fication in this model. We contradict his result, and show how the inherent incompleteness of the model leads to failure of (point) identi cation. We provide an exact identification proof when an exclusion restriction is available.

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File URL: http://www.economics.utoronto.ca/public/workingPapers/tecipa-503.pdf
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Bibliographic Info

Paper provided by University of Toronto, Department of Economics in its series Working Papers with number tecipa-503.

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Length: Unknown pages
Date of creation: 14 Oct 2013
Date of revision:
Handle: RePEc:tor:tecipa:tecipa-503

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Keywords: Probit model; Endogenous dummy regressor; Partial identification;

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  1. Wilde, Joachim, 2000. "Identification of multiple equation probit models with endogenous dummy regressors," Economics Letters, Elsevier, Elsevier, vol. 69(3), pages 309-312, December.
  2. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, Econometric Society, vol. 46(4), pages 931-59, July.
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