Identification and estimation in a correlated random coefficients binary response model

Stefan Hoderlein and Robert Sherman

Journal of Econometrics, 2015, vol. 188, issue 1, 135-149

Abstract: We study a linear index binary response model with random coefficients B allowed to be correlated with regressors X. We identify the mean of the distribution of B and show how the mean can be interpreted as a vector of expected relative effects. We use instruments and a control vector V to make X independent of B given V. This leads to a localize-then-average approach to both identification and estimation. We develop a n-consistent and asymptotically normal estimator of a trimmed mean of the distribution of B, explore its small sample performance through simulations, and present an application.

Keywords: Correlated random coefficients binary response model; Instrumental variables; Control variables; Conditional median restrictions; Localize-then-average strategy (search for similar items in EconPapers)
JEL-codes: C13 C14 C25 C26 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Identification and estimation in a correlated random coefficients binary response model (2012)
Working Paper: Identification And Estimation In A Correlated Random Coefficients Binary Response Model (2012)
Working Paper: Identification and estimation in a correlated random coefficients binary response model (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:188:y:2015:i:1:p:135-149

DOI: 10.1016/j.jeconom.2015.03.044

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