Estimation of Limited-Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice
Applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and non-negative outcomes. I argue here that much of the difficulty with limited-dependent variables comes from a focus on structural parameters, such as index coefficients, instead of causal effects. Once the object of estimation is taken to be the causal effect of treatment, a number of simple strategies is available. These include conventional two-stage least squares, multiplicative models for conditional means, linear approximation of nonlinear causal models, models for distribution effects, and quantile regression with an endogenous binary regressor. The estimation strategies discussed in the paper are illustrated by using multiple births to estimate the effect of childbearing on employment status and hours of work.
|Date of creation:||Jan 2000|
|Date of revision:|
|Publication status:||published as Angrist, Joshua D. "Estimation Of Limited Dependent Variable Models With Dummy Endogenous Regressors: Simple Strategies For Empirical Practice," Journal of Business and Economic Statistics, 2001, v19(1,Jan), 2-15.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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- Heckman, James J, 1978.
"Dummy Endogenous Variables in a Simultaneous Equation System,"
Econometric Society, vol. 46(4), pages 931-59, July.
- James J. Heckman, 1977. "Dummy Endogenous Variables in a Simultaneous Equation System," NBER Working Papers 0177, National Bureau of Economic Research, Inc.
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