Endogeneity in semiparametric binary response models

• 成果类型: Article
• 署名作者: Blundell, RW; Powell, JL
• 署名单位: University of London; University College London; University of London; London School Economics & Political Science; University of California System; University of California Berkeley
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2004.00299.x
• 发表日期: 2004
• 页码: 655-679
• 关键词: nonparametric-estimation; regression

摘要

This paper develops and implements semiparametric methods for estimating binary response (binary choice) models with continuous endogenous regressors. It extends existing results on semiparametric estimation in single-index binary response models to the case of endogenous regressors. It develops a control function approach to account for endogeneity in triangular and fully simultaneous binary response models. The proposed estimation method is applied to estimate the income effect in a labour market participation problem using a large micro data-set from the British Family Expenditure Survey. The semiparametric estimator is found to perform well, detecting a significant attenuation bias. The proposed estimator is contrasted to the corresponding probit and linear probability specifications.