Monfardini, C. and Radice, Rosalba (2008) Testing exogeneity in the Bivariate Probit model: a Monte Carlo study. Oxford Bulletin of Economics and Statistics 70 (2), pp. 271-282. ISSN 0305-9049.
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 analyse 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.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Rosalba Radice |
| Date Deposited: | 28 May 2013 09:39 |
| Last Modified: | 02 Aug 2023 17:04 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/6799 |
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