Simple Estimators for Binary Choice Models with Endogenous Regressors

Yingying Dong and Arthur Lewbel

No 111204, Working Papers from University of California-Irvine, Department of Economics

Abstract: This paper provides simple estimators for binary choice models with endogenous or mismeasured regressors. Unlike control function methods, which are generally only valid when endogenous regressors are continuous, the estimators proposed here can be used with limited, censored, continuous, or discrete endogenous regressors, and they also allow for latent errors having heteroskedasticity of unknown form, including random coefficients. The variants of special regressor based estimators we provide are numerically trivial to implement. We illustrate these methods with an empirical application estimating migration probabilities within the US.

Keywords: Binary choice; Binomial response; Endogeneity; Measurement error; Heteroskedasticity; Discrete endogenous regressor; Censored regressor; Random coefficients; Identification; Latent variable model (search for similar items in EconPapers)
JEL-codes: C25 C26 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2012-02
New Economics Papers: this item is included in nep-dcm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

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Related works:
Journal Article: A Simple Estimator for Binary Choice Models with Endogenous Regressors (2015)
Working Paper: A Simple Estimator for Binary Choice Models with Endogenous Regressors (2012)
Working Paper: A Simple Estimator for Binary Choice Models With Endogenous Regressors (2012)
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