A location model with an endogenous dummy variable

Robert de Jong

Economics Letters, 2020, vol. 195, issue C

Abstract: In this note, we consider a location model with an unobserved endogenous dummy variable without regressors and without instrumental variables. We show that it is possible to estimate the location parameter under regularity assumptions. One of these assumptions is a symmetry assumption on the error. However, a lower bound to the asymptotic variance is derived that shows that estimators of the model will inherently possess an extremely large asymptotic variance under sensible assumptions on the error term.

Keywords: Location parameter; Endogeneity; Fixed effects model (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302871

DOI: 10.1016/j.econlet.2020.109467

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