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

被引：2

作者：

Zhang, Zhengyu ^{[1
]}

He, Xiaobo ^{[2
]}

机构：

[1] Shanghai Univ Finance & Econ, Sch Publ Econ & Adm, Shanghai, Peoples R China

[2] Univ Adelaide, Sch Econ, Adelaide, SA 5005, Australia

来源：

ECONOMICS LETTERS | 2012年 / 117卷 / 03期

关键词：

Binary choice model; Dummy endogenous variable; Conditional symmetry; Heteroscedasticity; SEMIPARAMETRIC ESTIMATION;

D O I：

10.1016/j.econlet.2012.08.023

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：753 / 757

页数：5

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