Testing exogeneity in the Bivariate Probit model: a Monte Carlo study

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.

Full text not available from this repository.

Official URL: http://dx.doi.org/10.1111/j.1468-0084.2007.00486.x

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

Statistics

Archive Staff Only (login required)

Edit/View Item