A Simple Estimator for Binary Choice Models With Endogenous Regressors

Yingying Dong and Arthur Lewbel

No 807, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: This paper provides a few variants of a simple estimator for binary choice models with endogenous or mismeasured regressors, or with heteroskedastic errors, or with panel fixed effects. Unlike control function methods, which are generally only valid when endogenous regressors are continuous, the estimators proposed here can be used with limited, censored, continuous, or discrete endogenous regressors, and they allow for latent errors having heteroskedasticity of unknown form, including random coefficients. The variants of special regressor based estimators we provide are numerically trivial to implement. We illustrate these methods with an empirical application estimating migration probabilities within the US.

Keywords: Binary choice; Binomial response; Endogeneity; Measurement error; Heteroskedasticity; Discrete endogenous regressor; Censored regressor; Random coefficients; Identification; Latent variable model. (search for similar items in EconPapers)
JEL-codes: C25 C26 (search for similar items in EconPapers)
Date: 2012-06-15
New Economics Papers: this item is included in nep-dcm
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Citations: View citations in EconPapers (34)

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Related works:
Journal Article: A Simple Estimator for Binary Choice Models with Endogenous Regressors (2015)
Working Paper: A Simple Estimator for Binary Choice Models with Endogenous Regressors (2012)
Working Paper: Simple Estimators for Binary Choice Models with Endogenous Regressors (2012)
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