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Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models

Marra, G; Radice, R; Missiroli, S; (2014) Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models. COMPUTATIONAL STATISTICS , 29 (3-4) 715 - 741. 10.1007/s00180-013-0458-x. Green open access

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Abstract

Lagrange multiplier and Wald tests for the hypothesis of absence of unobserved confounding are extended to the context of semiparametric recursive and sample selection bivariate probit models. The finite sample size properties of the tests are examined through a Monte Carlo study using several scenarios: correct model specification, distributional and functional misspecification, with and without an exclusion restriction. The simulation results provide some guidelines which may be important for empirical analysis. The tests are illustrated using two datasets in which the issue of unobserved confounding arises.

Type: Article
Title: Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/s00180-013-0458-x
Publisher version: http://dx.doi.org/10.1007/s00180-013-0458-x
Additional information: This article is available under the terms of the Creative Commons Attribution License (CC BY) as indicated via the Publisher Version link above.
Keywords: Endogeneity, Lagrange multiplier test, Non-random sample selection, Penalized regression spline, Wald test
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/1435599
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