BIROn - Birkbeck Institutional Research Online

    Regression spline bivariate probit models: a practical approach to testing for exogeneity

    Marra, G. and Radice, Rosalba and Filippou, P. (2015) Regression spline bivariate probit models: a practical approach to testing for exogeneity. Communications in Statistics - Simulation and Computation 46 (3), pp. 2283-2298. ISSN 0361-0918.

    [img]
    Preview
    Text
    Testing.pdf - Author's Accepted Manuscript

    Download (257kB) | Preview

    Abstract

    Bivariate probit models can deal with a problem usually known as endogeneity. This issue is likely to arise in observational studies when confounders are unobserved. We are concerned with testing the hypothesis of exogeneity (or absence of endogeneity) when using regression spline recursive and sample selection bivariate probit models. Likelihood ratio and gradient tests are discussed in this context and their empirical properties investigated and compared with those of the Lagrange multiplier and Wald tests through a Monte Carlo study. The tests are illustrated using two datasets in which the hypothesis of exogeneity needs to be tested.

    Metadata

    Item Type: Article
    Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis, available online: http://wwww.tandfonline.com/10.1080/03610918.2015.1041974
    Keyword(s) / Subject(s): Bivariate probit model, Endogeneity, Gradient test, Lagrange multiplier test, Likelihood ratio test, Non-random sample selection, Penalized regression spline, Wald test
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Rosalba Radice
    Date Deposited: 10 Jul 2015 13:14
    Last Modified: 24 Jun 2020 16:31
    URI: https://eprints.bbk.ac.uk/id/eprint/12508

    Statistics

    Downloads
    Activity Overview
    342Downloads
    207Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item