Estimation of Gaussian multinomial endogenous switching model

Elena Kossova () and Bogdan Potanin ()
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Elena Kossova: National Research University Higher School of Economics (NRU HSE), Moscow, Russian Federation
Bogdan Potanin: National Research University Higher School of Economics (NRU HSE), Moscow, Russian Federation

Applied Econometrics, 2022, vol. 67, 121-143

Abstract: We propose a two-step estimation procedure for multinomial endogenous switching model assuming joint normality of random errors. Simulated data analysis suggests that our method outperforms popular alternatives when independence of irrelevant alternatives (IIA) assumption is violated. We also apply our method to estimate marriage male premium. We have found statistical evidence that this premium is negative for officially married men and positive for unofficially married men.

Keywords: sample selection; switching regression model; endogeneity; marriage male premium (search for similar items in EconPapers)
JEL-codes: C34 J12 (search for similar items in EconPapers)
Date: 2022
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