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.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP42/12
- Classification
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Wirtschaft
- Subject
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Heterogeneity
Correlated Random Coefficients
Endogeneity
Binary Response Model
Instrumental Variables
Control Variables
Conditional Median Restrictions
- Event
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Geistige Schöpfung
- (who)
-
Hoderlein, Stefan
Sherman, Robert
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
-
2012
- DOI
-
doi:10.1920/wp.cem.2012.4212
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hoderlein, Stefan
- Sherman, Robert
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2012
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