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An instrumental variable random-coefficients model for binary outcomes

Chesher, A; Rosen, AM; (2014) An instrumental variable random-coefficients model for binary outcomes. Econometrics Journal , 17 (2) S1-S19. 10.1111/ectj.12018. Green open access

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Abstract

In this paper, we study a random-coefficients model for a binary outcome. We allow for the possibility that some or even all of the explanatory variables are arbitrarily correlated with the random coefficients, thus permitting endogeneity. We assume the existence of observed instrumental variables Z that are jointly independent with the random coefficients, although we place no structure on the joint determination of the endogenous variable X and instruments Z, as would be required for a control function approach. The model fits within the spectrum of generalized instrumental variable models, and we thus apply identification results from our previous studies of such models to the present context, demonstrating their use. Specifically, we characterize the identified set for the distribution of random coefficients in the binary response model with endogeneity via a collection of conditional moment inequalities, and we investigate the structure of these sets by way of numerical illustration. © 2013 Royal Economic Society.

Type: Article
Title: An instrumental variable random-coefficients model for binary outcomes
Open access status: An open access version is available from UCL Discovery
DOI: 10.1111/ectj.12018
Publisher version: http://dx.doi.org/10.1111/ectj.12018
Additional information: © 2013 The Authors. The Econometrics Journal published by John Wiley & Sons Ltd on behalf of Royal Economic Society. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
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/1403353
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