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    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.

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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Rosalba Radice
    Date Deposited: 28 May 2013 09:39
    Last Modified: 28 May 2013 09:39
    URI: https://eprints.bbk.ac.uk/id/eprint/6799

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