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Estimation of a heteroscedastic binary choice model with an endogenous dummy regressor

Zhengyu Zhang and Xiaobo He ()

Economics Letters, 2012, vol. 117, issue 3, 753-757

Abstract: Estimating binary choice models with endogeneity is of considerable importance in microeconometrics. The leading control function approach does not apply when the endogenous variable is binary. We propose a multi-stage estimation procedure for a heteroscedastic binary choice model with an endogenous dummy under a joint conditional symmetry restriction, which allows us to overcome several drawbacks associated with the existing estimators.

Keywords: Binary choice model; Dummy endogenous variable; Conditional symmetry; Heteroscedasticity (search for similar items in EconPapers)
JEL-codes: C13 C14 C35 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.econlet.2012.08.023

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