Binary Choice Model with Endogeneity: Identification via Heteroskedasticity

Minxian Yang

No 2014-34, Discussion Papers from School of Economics, The University of New South Wales

Abstract: The idea of identifying structural parameters via heteroskedasticity is explored in the context of binary choice models with an endogenous regressor. Sufficient conditions for parameter identification are derived for probit models without relying on instruments or additional restrictions. The results are extendable to other parametric binary choice models. The semi- parametric model of Manski (1975, 1985), with endogeneity, is also shown to be identifiable in the presence of heteroskedasticity. The role of heteroskedasticity in identifying and estimating structural parameters is demonstrated by Monte Carlo experiments.

Keywords: Qualitative response; Probit; Logit; Linear median regression; Endogeneity; Identification; Heteroskedasticity (search for similar items in EconPapers)
JEL-codes: C13 C25 C35 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-08
New Economics Papers: this item is included in nep-dcm, nep-ecm, nep-ger and nep-ore
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