Simulation-Based Two-Step Estimation with Endogenous Regressors

This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approach. The first step consists of simulating of the residuals of the reduced-form equation for endogenous regressors. The second step is a regression model (linear, latent or discrete) with the simulated residual as an additional regressor. In this paper we develop the asymptotic theory for the STS estimator and its rate of convergence

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Year of publication:	2011
Authors:	Kan, Kamhon
Other Persons:	Kao, Chihwa (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Regressionsanalyse \| Regression analysis \| Simulation \| Schätztheorie \| Estimation theory

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