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Estimation of a heteroscedastic binary choice model with an endogenous dummy regressor

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  • Zhang, Zhengyu
  • He, Xiaobo

Abstract

Estimating binary choice models with endogeneity is of considerable importance in microeconometrics. The leading control function approach does not apply when the endogenous variable is binary. We propose a multi-stage estimation procedure for a heteroscedastic binary choice model with an endogenous dummy under a joint conditional symmetry restriction, which allows us to overcome several drawbacks associated with the existing estimators.

Suggested Citation

  • Zhang, Zhengyu & He, Xiaobo, 2012. "Estimation of a heteroscedastic binary choice model with an endogenous dummy regressor," Economics Letters, Elsevier, vol. 117(3), pages 753-757.
    • Handle: RePEc:eee:ecolet:v:117:y:2012:i:3:p:753-757
    DOI: 10.1016/j.econlet.2012.08.023
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    References listed on IDEAS

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    More about this item

    Keywords

    Binary choice model; Dummy endogenous variable; Conditional symmetry; Heteroscedasticity;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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