Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study*

Chiara Monfardini and Rosalba Radice

Oxford Bulletin of Economics and Statistics, 2008, vol. 70, issue 2, 271-282

Abstract: We conduct an extensive Monte Carlo experiment to examine the finite sample properties of maximum‐likelihood‐based inference in the bivariate probit model with an endogenous dummy. We analyse the relative performance of alternative exogeneity tests, the impact of distributional misspecification and the role of exclusion restrictions to achieve parameter identification in practice. The results allow us to infer important guidelines for applied econometric practice.

Date: 2008
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Citations: View citations in EconPapers (141)

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https://doi.org/10.1111/j.1468-0084.2007.00486.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:70:y:2008:i:2:p:271-282

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