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A Simple Estimator for Binary Choice Models With Endogenous Regressors

Author

Listed:
  • Yingying Dong

    (California State University, Irvine)

  • Arthur Lewbel

    (Boston College)

Abstract
This paper provides a few variants of a simple estimator for binary choice models with endogenous or mismeasured regressors, or with heteroskedastic errors, or with panel fixed effects. 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 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.

Suggested Citation

  • Yingying Dong & Arthur Lewbel, 2012. "A Simple Estimator for Binary Choice Models With Endogenous Regressors," Boston College Working Papers in Economics 807, Boston College Department of Economics.
    • Handle: RePEc:boc:bocoec:807
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    References listed on IDEAS

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    More about this item

    Keywords

    Binary choice; Binomial response; Endogeneity; Measurement error; Heteroskedasticity; Discrete endogenous regressor; Censored regressor; Random coefficients; Identification; Latent variable model.;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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