A Simple Estimator for Simultaneous Models with Censored Endogenous Reggressors

Francis Vella

No 267068, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper presents a simple two step estimator for models with censored endogenous regressors and sample selection bias. The approach unifies the literature on censored endogenous regressors and sample selection bias and provides some extensions. The procedure relies upon the use of generalized residuals to adjust for the inconsistency caused by the endogeneity of the censored regressors. The methodology is very simple and easily implementable with existing computer programs. The paper also provides two tests of weak exogeneity. Two empirical examples, based on issues from the labor economics literature, indicate that the estimation procedure and the tests perform well.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 47
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267068

DOI: 10.22004/ag.econ.267068

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