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ESTIMATION OF BINARY CHOICE MODELS WITH LINEAR INDEX AND DUMMY ENDOGENOUS VARIABLES
| Content Provider | Scilit |
|---|---|
| Author | Yildiz, Neşe |
| Copyright Year | 2013 |
| Description | This paper presents computationally simple estimators for the index coefficients in a binary choice model with a binary endogenous regressor without relying on distributional assumptions or on large support conditions and yields root-n consistent and asymptotically normal estimators. We develop a multistep method for estimating the parameters in a triangular, linear index, threshold-crossing model with two equations. Such an econometric model might be used in testing for moral hazard while allowing for asymmetric information in insurance markets. In outlining this new estimation method two contributions are made. The first one is proposing a novel “matching” estimator for the coefficient on the binary endogenous variable in the outcome equation. Second, in order to establish the asymptotic properties of the proposed estimators for the coefficients of the exogenous regressors in the outcome equation, the results of Powell, Stock, and Stoker (1989, Econometrica 75, 1403–1430) are extended to cover the case where the average derivative estimation requires a first-step semiparametric procedure. |
| Related Links | http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1202.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/3325B713C848BF5A97834B7150B1697F/S0266466612000436a.pdf/div-class-title-estimation-of-binary-choice-models-with-linear-index-and-dummy-endogenous-variables-div.pdf |
| Ending Page | 392 |
| Page Count | 39 |
| Starting Page | 354 |
| ISSN | 02664666 |
| e-ISSN | 14694360 |
| DOI | 10.1017/s0266466612000436 |
| Journal | Econometric Theory |
| Issue Number | 2 |
| Volume Number | 29 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2013-04-01 |
| Access Restriction | Open |
| Subject Keyword | Econometric Theory Mathematical Social Sciences Statistics and Probability Estimation Method |
| Content Type | Text |
| Resource Type | Article |
| Subject | Social Sciences Economics and Econometrics |
