Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses

Esmeralda Ramalho () and Joaquim Ramalho ()

CEFAGE-UE Working Papers from University of Evora, CEFAGE-UE (Portugal)

Abstract: In this paper we suggest simple moment-based estimators to deal with unobserved heterogeneity in a special class of nonlinear regression models that includes as main particular cases exponential models for nonnegative responses and logit and complementary loglog models for fractional responses. The proposed estimators: (i) treat observed and omitted covariates in a similar manner; (ii) can deal with boundary outcomes; (iii) accommodate endogenous explanatory variables without requiring knowledge on the reduced form model, although such information may be easily incorporated in the estimation process; (iv) do not require distributional assumptions on the unobservables, a conditional mean assumption being enough for consistent estimation of the structural parameters; and (v) under the additional assumption that the dependence between observables and unobservables is restricted to the conditional mean, produce consistent estimators of partial effects conditional only on observables.

Keywords: Unobserved heterogeneity; Endogeneity; Boundary outcomes; Fractional regression; Exponential regression; Transformation regression models. (search for similar items in EconPapers)
JEL-codes: C25 C26 C51 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2014
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:cfe:wpcefa:2014_09

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