Omitted Variables and Misspecified Disturbances in the Logit Model

Jan Cramer

No 05-084/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In binary discrete regression models like logit or probit the omis-sion of a relevant regressor (even if it is orthogonal) depresses the re-maining b coefficients towards zero. For the probit model, Wooldridge(2002) has shown that this bias does not carry over to the effect ofthe regressor on the outcome. We find by simulations that this alsoholds for logit models, even when the omitted variable leads to severemisspecification of the disturbance. More simulations show that es-timates of these effects by logit analysis are also impervious to puremisspecification of the disturbance.

Keywords: logit model; omitted variables; misspecification (search for similar items in EconPapers)
JEL-codes: C25 (search for similar items in EconPapers)
Date: 2005-09-15
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://papers.tinbergen.nl/05084.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20050084

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().