Evdokimov, Kirill S;
Kalnina, Ilze;
Zeleneev, Andrei;
(2025)
Marginal Effects for Probit and Tobit with Endogeneity.
The Econometrics Journal
, Article utaf010. 10.1093/ectj/utaf010.
(In press).
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Abstract
When evaluating partial effects, it is important to distinguish between structural endogeneity and measurement errors. In contrast to linear models, these two sources of endogeneity affect partial effects differently in nonlinear models. We study this issue focusing on the Instrumental Variable (IV) Probit and Tobit models. We show that even when a valid IV is available, failing to differentiate between the two types of endogeneity can lead to either under- or over-estimation of the partial effects. We develop simple estimators of the bounds on the partial effects and provide easy to implement confidence intervals that correctly account for both types of endogeneity. We illustrate the methods in a Monte Carlo simulation and an empirical application.
| Type: | Article |
|---|---|
| Title: | Marginal Effects for Probit and Tobit with Endogeneity |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1093/ectj/utaf010 |
| Publisher version: | https://doi.org/10.1093/ectj/utaf010 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | (Average) Partial Effects, Instrumental Variable, Control Variable, Errors-in-Variables, Counterfactual |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10206784 |
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