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A Simple Estimator for Binary Choice Models With Endogenous Regressors

  • Yingying Dong

    (California State University, Irvine)

  • Arthur Lewbel

    ()

    (Boston College)

This paper provides a few variants of a simple estimator for binary choice models with endogenous or mismeasured regressors, or with heteroskedastic errors, or with panel fixed effects. Unlike control function methods, which are generally only valid when endogenous regressors are continuous, the estimators proposed here can be used with limited, censored, continuous, or discrete endogenous regressors, and they allow for latent errors having heteroskedasticity of unknown form, including random coefficients. The variants of special regressor based estimators we provide are numerically trivial to implement. We illustrate these methods with an empirical application estimating migration probabilities within the US.

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Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 807.

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Date of creation: 15 Jun 2012
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Handle: RePEc:boc:bocoec:807
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