Binary Choice Model with Endogeneity: Identification via Heteroskedasticity

19 Pages Posted: 14 Jul 2014

See all articles by Minxian Yang

Minxian Yang

UNSW Australia Business School, School of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: July 14, 2014

Abstract

The idea of identifying structural parameters via heteroskedasticity is explored in the context of binary choice models with an endogenous regressor. Sufficient conditions for parameter identification are derived for probit models without relying on instruments or additional restrictions. The results are extendable to other parametric binary choice models. The semi-parametric model of Manski (1975, 1985), with endogeneity, is also shown to be identifiable in the presence of heteroskedasticity. The role of heteroskedasticity in identifying and estimating structural parameters is demonstrated by Monte Carlo experiments.

Keywords: Qualitative response, Probit, Logit, Linear median regression, Endogeneity, Identification, Heteroskedasticity

JEL Classification: C25, C35, C13

Suggested Citation

Yang, Minxian, Binary Choice Model with Endogeneity: Identification via Heteroskedasticity (July 14, 2014). Available at SSRN: https://ssrn.com/abstract=2465744 or http://dx.doi.org/10.2139/ssrn.2465744

Minxian Yang (Contact Author)

UNSW Australia Business School, School of Economics ( email )

School of Economics
The University of New South Wales
Sydney, NSW NSW 2052
Australia
93853353 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
44
Abstract Views
370
PlumX Metrics