Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study

12 Pages Posted: 27 Mar 2008

See all articles by Chiara Monfardini

Chiara Monfardini

University of Bologna - Department of Economics; IZA Institute of Labor Economics

Rosalba Radice

University of Bologna - Department of Statistics

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Date Written: 0000

Abstract

We conduct an extensive Monte Carlo experiment to examine the finite sample properties of maximum-likelihood-based inference in the bivariate probit model with an endogenous dummy. We analyze the relative performance of alternative exogeneity tests, the impact of distributional misspecification and the role of exclusion restrictions to achieve parameter identification in practice. The results allow us to infer important guidelines for applied econometric practice.

Suggested Citation

Monfardini, Chiara and Radice, Rosalba, Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study (0000). Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 2, pp. 271-282, April 2008, Available at SSRN: https://ssrn.com/abstract=1112173 or http://dx.doi.org/10.1111/j.1468-0084.2007.00486.x

Chiara Monfardini (Contact Author)

University of Bologna - Department of Economics ( email )

Piazza Scaravilli 2
Bologna, 40126
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0039 51 221968 (Fax)

IZA Institute of Labor Economics

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Rosalba Radice

University of Bologna - Department of Statistics ( email )

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Bologna, Bo 40126
Italy
+393474257043 (Phone)

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