I propose a quasi-maximum likelihood framework for estimating nonlinear models with continuous or discrete endogenous explanatory variables. Joint and two-step estimation procedures are considered. The joint procedure is a quasi-limited information maximum likelihood procedure, as one or both of...

We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...

We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...