Marginal effects for probit and tobit with endogeneity

Kirill S Evdokimov, Ilze Kalnina and Andrei Zeleneev

The Econometrics Journal, 2026, vol. 29, issue 1, 106-124

Abstract: SummaryWhen evaluating partial effects, it is important to distinguish between structural endogeneity and measurement errors. In contrast to linear models, these two sources of endogeneity affect partial effects differently in non-linear models. We study this issue, focusing on the instrumental variable (IV) probit and tobit models. We show that even when a valid instrumental variable is available, failing to differentiate between the two types of endogeneity can lead to either under- or overestimation of the partial effects. We develop simple estimators of the bounds on the partial effects and provide easy-to-implement confidence intervals that correctly account for both types of endogeneity. We illustrate the methods in a Monte Carlo simulation and an empirical application.

Keywords: (average) partial effects; instrumental variable; control variable; errors-in-variables; counterfactuals (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1093/ectj/utaf010 (application/pdf)
Access to full text is restricted to subscribers.

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:oup:emjrnl:v:29:y:2026:i:1:p:106-124.

Access Statistics for this article

The Econometrics Journal is currently edited by Jaap Abbring

More articles in The Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().