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Simple Estimators for Binary Choice Models with Endogenous Regressors

Author

Listed:
  • Yingying Dong

    (Department of Economics, University of California-Irvine)

  • Arthur Lewbel

    (Department of Economics, Boston College)

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.

Suggested Citation

  • Yingying Dong & Arthur Lewbel, 2012. "Simple Estimators for Binary Choice Models with Endogenous Regressors," Working Papers 111204, University of California-Irvine, Department of Economics.
    • Handle: RePEc:irv:wpaper:111204
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    File URL: https://www.economics.uci.edu/files/docs/workingpapers/2011-2012/dong-04.pdf
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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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