Estimation of a heteroscedastic binary choice model with an endogenous dummy regressor

Estimating binary choice models with endogeneity is of considerable importance in microeconometrics. The leading control function approach does not apply when the endogenous variable is binary. We propose a multi-stage estimation procedure for a heteroscedastic binary choice model with an endogenous dummy under a joint conditional symmetry restriction, which allows us to overcome several drawbacks associated with the existing estimators.

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Year of publication:	2012
Authors:	Zhang, Zhengyu ; He, Xiaobo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 753-757
Publisher:	Elsevier
Subject:	Binary choice model \| Dummy endogenous variable \| Conditional symmetry \| Heteroscedasticity

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Type of publication:	Article
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C35 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594158