Endogeneity in a Binomial Model

Kurt Brännäs () and Maria Eriksson ()
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Maria Eriksson: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 440, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: A characterization of endogeneity in the binomial regression model is given. The relationship to a model subject to selection is indicated. Maximum likelihood and nonlinear instrumental variable estimators are obtained and evaluated in a Monte Carlo study. A new LM test and a Hausman test against endogeneity are also evaluated. Maximum likelihood estimation based on an instrumental variable and the LM test are found to perform well. An illustration based on choice set sizes for Swedish unemployed is included.

Keywords: Binomial; Endogeneity; Choice Set; Unemployment; Test. (search for similar items in EconPapers)
JEL-codes: C12 C13 C21 C25 (search for similar items in EconPapers)
Pages: 11 pages
Date: 1997-12-15
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