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Interval Regression Models with;Endogenous Explanatory Variables

  • Giulia BETTIN

    ()

    (Universit… Politecnica delle Marche, Dipartimento di Scienze Economiche e Sociali)

  • Riccardo LUCCHETTI

    ()

    (Universita' Politecnica delle Marche, Dipartimento di Economia)

We consider the estimation of linear models where the dependent variable is observed by intervals and some continuous regressors may be endogenous. Our approach is fully parametric and two estimators are proposed: a two-step estimator and a limited-information maximum-likelihood estimator. The results can be summarised as follows: the two-step estimator may offer some computational advantages over the LIML (Limited Information Maximum Likelihood) estimator, and a Monte Carlo experiment suggests that its relative efficiency is rather satisfactory. The LIML estimator, however, is probably simpler to implement and has the advantage of providing a framework in which several testing procedures are more straightforward to perform. The application of TSLS (Two-Stage Least Squares) to a proxy of the dependent variable built by taking midpoints, on the other hand, leads to inconsistent estimates. An example application is also included, which uses Australian data on migrants' remittances.

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File URL: http://docs.dises.univpm.it/web/quaderni/pdf/339.pdf
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Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 339.

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Length: 21
Date of creation: Apr 2010
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Handle: RePEc:anc:wpaper:339
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  1. Chesher, Andrew & Irish, Margaret, 1987. "Residual analysis in the grouped and censored normal linear model," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 33-61.
  2. Cox, Donald & Eser, Zekeriya & Jimenez, Emmanuel, 1998. "Motives for private transfers over the life cycle: An analytical framework and evidence for Peru," Journal of Development Economics, Elsevier, vol. 55(1), pages 57-80, February.
  3. Rivers, Douglas & Vuong, Quang H., 1988. "Limited information estimators and exogeneity tests for simultaneous probit models," Journal of Econometrics, Elsevier, vol. 39(3), pages 347-366, November.
  4. Catalina Amuedo-Dorantes & Susan Pozo, 2006. "Remittances as insurance: evidence from Mexican immigrants," Journal of Population Economics, Springer, vol. 19(2), pages 227-254, June.
  5. Han Hong & Elie Tamer, 2003. "Inference in Censored Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 71(3), pages 905-932, 05.
  6. Lucas, Robert E B & Stark, Oded, 1985. "Motivations to Remit: Evidence from Botswana," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 901-18, October.
  7. Agarwal, Reena & Horowitz, Andrew W., 2002. "Are International Remittances Altruism or Insurance? Evidence from Guyana Using Multiple-Migrant Households," World Development, Elsevier, vol. 30(11), pages 2033-2044, November.
  8. Brown, Richard P. C., 1997. "Estimating remittance functions for Pacific Island Migrants," World Development, Elsevier, vol. 25(4), pages 613-626, January.
  9. Joseph V. Terza & Donald S. Kenkel & Tsui-Fang Lin & Shinichi Sakata, 2008. "Care-giver advice as a preventive measure for drinking during pregnancy: zeros, categorical outcome responses, and endogeneity," Health Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 41-54.
  10. Hiroyuki Kawakatsu & Ann G. Largey, 2009. "EM algorithms for ordered probit models with endogenous regressors," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 164-186, 03.
  11. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
  12. Mark B. Stewart, 1982. "On Least Squares Estimation When the Dependent Variable is Grouped," Working Papers 539, Princeton University, Department of Economics, Industrial Relations Section..
  13. Gao, Chuanming & Lahiri, Kajal, 2000. "Further consequences of viewing LIML as an iterated Aitken estimator," Journal of Econometrics, Elsevier, vol. 98(2), pages 187-202, October.
  14. Charles F. Manski & Elie Tamer, 2002. "Inference on Regressions with Interval Data on a Regressor or Outcome," Econometrica, Econometric Society, vol. 70(2), pages 519-546, March.
  15. Funkhouser, Edward, 1995. "Remittances from International Migration: A Comparison of El Salvador and Nicaragua," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 137-46, February.
  16. Rapoport, Hillel & Docquier, Frederic, 2006. "The Economics of Migrants' Remittances," Handbook on the Economics of Giving, Reciprocity and Altruism, Elsevier.
  17. Neumann, George & Olitsky, Neal & Robbins, Steve, 2009. "Job congruence, academic achievement, and earnings," Labour Economics, Elsevier, vol. 16(5), pages 503-509, October.
  18. Ken Clark & Stephen Drinkwater, 2007. "An Investigation Of Household Remittance Behaviour: Evidence From The United Kingdom," Manchester School, University of Manchester, vol. 75(6), pages 717-741, December.
  19. Bettin, Giulia & Lucchetti, Riccardo & Zazzaro, Alberto, 2009. "Income, consumption and remittances: Evidence from immigrants to Australia," HWWI Research Papers 3-21, Hamburg Institute of International Economics (HWWI).
  20. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
  21. Hoddinott, John, 1994. "A Model of Migration and Remittances Applied to Western Kenya," Oxford Economic Papers, Oxford University Press, vol. 46(3), pages 459-76, July.
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