Arbeitspapier
Identification and estimation in a correlated random coefficients binary response model
We study identification and estimation in a binary response model with random coefficients B allowed to be correlated with regressors X. Our objective is to identify the mean of the distribution of B and estimate a trimmed mean of this distribution. Like Imbens and Newey (2009), we use instruments Z and a control vector V to make X independent of B given V . A consequent conditional median restriction identifies the mean of B given V . Averaging over V identifies the mean of B. This leads to an analogous localize-then-average approach to estimation. We estimate conditional means with localized smooth maximum score estimators and average to obtain a Ín-consistent and asymptotically normal estimator of a trimmed mean of the distribution of B. The method can be adapted to models with nonrandom coefficients to produce Ín-consistent and asymptotically normal estimators under the conditional median restrictions. We explore small sample performance through simulations, and present an application.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP42/12
- Klassifikation
-
Wirtschaft
- Thema
-
Heterogeneity
Correlated Random Coefficients
Endogeneity
Binary Response Model
Instrumental Variables
Control Variables
Conditional Median Restrictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hoderlein, Stefan
Sherman, Robert
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2012
- DOI
-
doi:10.1920/wp.cem.2012.4212
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hoderlein, Stefan
- Sherman, Robert
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2012
Ähnliche Objekte (12)
Panel data estimation for correlated random coefficients models
Instrumental variables estimation of a generalized correlated random coefficients model
A quantile correlated random coefficients panel data model
An instrumental variable random coefficients model for binary outcomes
Variance estimation in a random coefficients model
Variance Estimation in a Random Coefficients Model
Some New Random Effect Models for Correlated Binary Responses
Nonparametric maximum likelihood methods for binary response models with random coefficients
On some features of quadratic unconstrained binary optimization with random coefficients
Semiparametric estimation of random coefficients in structural economic models
Estimation of spatially correlated random scaling factors based on Markov random field priors
Nonparametric estimation of the random coefficients model: An elastic net approach
Panel data estimation for correlated random coefficients models
Instrumental variables estimation of a generalized correlated random coefficients model
A quantile correlated random coefficients panel data model
An instrumental variable random coefficients model for binary outcomes
Variance estimation in a random coefficients model
Variance Estimation in a Random Coefficients Model
Some New Random Effect Models for Correlated Binary Responses
Nonparametric maximum likelihood methods for binary response models with random coefficients
On some features of quadratic unconstrained binary optimization with random coefficients
Semiparametric estimation of random coefficients in structural economic models
Estimation of spatially correlated random scaling factors based on Markov random field priors
Nonparametric estimation of the random coefficients model: An elastic net approach
Panel data estimation for correlated random coefficients models
Instrumental variables estimation of a generalized correlated random coefficients model
A quantile correlated random coefficients panel data model
An instrumental variable random coefficients model for binary outcomes
Variance estimation in a random coefficients model
Variance Estimation in a Random Coefficients Model
Some New Random Effect Models for Correlated Binary Responses
Nonparametric maximum likelihood methods for binary response models with random coefficients
On some features of quadratic unconstrained binary optimization with random coefficients
Semiparametric estimation of random coefficients in structural economic models
Estimation of spatially correlated random scaling factors based on Markov random field priors