Umeå Economic Studies, Department of Economics, Umeå University
No 440:
Endogeneity in a Binomial Model
Kurt Brännäs ()
and Maria Eriksson ()
Abstract: A characterization of endogeneity in the binomial
regression model is given. The relationship to a model subject to selection
is indicated. Maximum likelihood and nonlinear instrumental variable
estimators are obtained and evaluated in a Monte Carlo study. A new LM test
and a Hausman test against endogeneity are also evaluated. Maximum
likelihood estimation based on an instrumental variable and the LM test are
found to perform well. An illustration based on choice set sizes for
Swedish unemployed is included.
Keywords: Binomial; Endogeneity; Choice Set; Unemployment; Test.; (follow links to similar papers)
JEL-Codes: C12; C13; C21; C25; (follow links to similar papers)
11 pages, December 15, 1997
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