Testing parameter significance in instrumental variables probit estimators: some simulation

DOI10.1080/00949655.2011.580344MaRDI QIDQ4925426zbMATH OpenOpenAlexFDO

Authors Lee C. Adkins

Publication date 12 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.580344

zbMATH Keywords

binary responsedichotomous choiceendogenous regressorsgeneralized linear modelGMMinstrumental variablesMonte Carloprobitsignificance tests

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12) Applications of statistics to economics (62P20)

Recommendations

• Limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous
• A practical comparison of the bivariate probit and linear IV estimators
• Some results on the finite sample significance levels of instrumental variable tests for non-nested models
• Limited information estimators and exogeneity tests for simultaneous probit models
• The classical principles of testing using instrumental variables estimates

Cites work

• An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply
• Efficient estimation of limited dependent variable models with endogenous explanatory variables
• Endogeneity in Semiparametric Binary Response Models
• Estimation of sample selection bias models
• Evaluating the performance of simple estimators for probit models with two dummy endogenous regressors
• Instrumental Variables Regression with Weak Instruments
• Limited information estimators and exogeneity tests for simultaneous probit models
• RECENTERED AND RESCALED INSTRUMENTAL VARIABLE ESTIMATION OF TOBIT AND PROBIT MODELS WITH ERRORS IN VARIABLES

Cited in

(2)

• Some results on the finite sample significance levels of instrumental variable tests for non-nested models
• Deep partial least squares for instrumental variable regression

Describes a project that uses

Uses Software

• Stata
• LIMDEP

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