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Endogeneity in semiparametric binary response models

Blundell, R.; Powell, J.L.; (2001) Endogeneity in semiparametric binary response models. (cemmap Working Papers CWP05/01). Institute for Fiscal Studies: London, UK.

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This paper develops and implements semiparametric methods for estimating binary response (binary choice) models withcontinuous endogenous regressors. It extends the existing literature on semiparametric estimation in single index binary response models to the case of endogenous regressors. It develops a control function approach to accounting for endogeneity in triangular and fully simulataneous binary response models. An application is given to the case of estimating the income effect in a labor market participation problem using a large micro data set from the British FES. 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.

Type: Working / discussion paper
Title: Endogeneity in semiparametric binary response models
Publisher version: http://www.cemmap.ac.uk/publications.php
Language: English
Additional information: Please also see http://eprints.ucl.ac.uk/12620 and http://eprints.ucl.ac.uk/14735 for related items
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/14714
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