Marra, G. and Radice, Rosalba and Missiroli, S. (2014) Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models. Computational Statistics 29 (3-4), pp. 715-741. ISSN 0943-4062.
Abstract
Lagrange multiplier and Wald tests for the hypothesis of absence of unobserved confounding are extended to the context of semiparametric recursive and sample selection bivariate probit models. The finite sample size properties of the tests are examined through a Monte Carlo study using several scenarios: correct model specification, distributional and functional misspecification, with and without an exclusion restriction. The simulation results provide some guidelines which may be important for empirical analysis. The tests are illustrated using two datasets in which the issue of unobserved confounding arises.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | endogeneity, lagrange multiplier test, non-random sample selection, penalized regression spline, wald test |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 15 Apr 2014 13:17 |
| Last Modified: | 02 Aug 2023 17:10 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/9607 |
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