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A location model with an endogenous dummy variable

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  • de Jong, Robert M.

Abstract

In this note, we consider a location model with an unobserved endogenous dummy variable without regressors and without instrumental variables. We show that it is possible to estimate the location parameter under regularity assumptions. One of these assumptions is a symmetry assumption on the error. However, a lower bound to the asymptotic variance is derived that shows that estimators of the model will inherently possess an extremely large asymptotic variance under sensible assumptions on the error term.

Suggested Citation

  • de Jong, Robert M., 2020. "A location model with an endogenous dummy variable," Economics Letters, Elsevier, vol. 195(C).
    • Handle: RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302871
    DOI: 10.1016/j.econlet.2020.109467
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    References listed on IDEAS

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    1. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
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