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Binary choice models with endogenous regressors

Author

Listed:
  • Christopher Baum

    () (Boston College
    DIW Berlin)

  • Yingying Dong

    (University of California Irvine)

  • Arthur Lewbel

    (Boston College)

  • Tao Yang

    (Boston College)

Abstract

Dong and Lewbel have developed the theory of simple estimators for binary choice models with endogenous or mismeasured regressors, depending on a `special regressor' as defined by Lewbel (J. Econometrics, 2000). `Control function' methods such as Stata's ivprobit are generally only valid when endogenous regressors are consistent. The estimators proposed here can be used with limited, censored, continuous or discrete endogenous regressors, and have significant advantages over alternatives such as maximum likelihood and the linear probability model. These estimators are numerically straightforward to implement. We present and demonstrate an improved version of a Stata routine that provides both estimation and post-estimation features.

Suggested Citation

  • Christopher Baum & Yingying Dong & Arthur Lewbel & Tao Yang, 2012. "Binary choice models with endogenous regressors," SAN12 Stata Conference 9, Stata Users Group.
  • Handle: RePEc:boc:scon12:9
    as

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    File URL: http://fmwww.bc.edu/repec/san2012/baum.san2012.pdf
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    Cited by:

    1. Marcin Holda & Katarzyna Saczuk & Pawel Strzelecki & Robert Wyszynski, 2011. "Settlers and Guests - Determinants of the Plans of Return Migration from UK and Ireland to Poland in the Period 2007-2009," NBP Working Papers 84, Narodowy Bank Polski, Economic Research Department.
    2. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
    3. Silvia Magri, 2014. "Does issuing equities help R&D activity? Evidence from unlisted Italian high-tech manufacturing firms," Temi di discussione (Economic working papers) 978, Bank of Italy, Economic Research and International Relations Area.
    4. Silvia Magri, 2014. "Does issuing equity help R&D activity? Evidence from unlisted Italian high-tech manufacturing firms," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 23(8), pages 825-854, November.
    5. repec:eee:foreco:v:26:y:2017:i:c:p:56-62 is not listed on IDEAS

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