Journal article | Zeitschriftenartikel
Semiparametric estimation of binary response models with endogenous regressors
In this paper, we propose a two-step semiparametric maximum likelihood (SML) estimator for the coefficients of a single index binary choice model with endogenous regressors when identification is achieved via a control function approach. The first step consists of estimating a reduced form equation for the endogenous regressors and extracting the corresponding residuals. In the second step, the latter are added as control variates to the outcome equation, which is in turn estimated by SML. We establish the estimator’s n-consistency and asymptotic normality. In a simulation study, we compare the properties of our estimator with those of existing alternatives, highlighting the advantages of our approach.
- Sprache
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Englisch
- Umfang
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Seite(n): 51-64
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Journal of Econometrics, 153(1)
- Klassifikation
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Semiparametric and Nonparametric Methods: General
- Thema
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
- Ereignis
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Geistige Schöpfung
- (wer)
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Rothe, Christoph
- Ereignis
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Veröffentlichung
- (wo)
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Niederlande
- (wann)
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2009
- DOI
- URN
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urn:nbn:de:0168-ssoar-248602
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:26 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Rothe, Christoph
Entstanden
- 2009
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