We conduct an extensive Monte Carlo experiment to examine the finite sample properties of maximum-likelihood-based inference in the bivariate probit model with 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.
Testing Exogeneity in the Bivariate Probit Model: a Monte Carlo Study / C. Monfardini; R. Radice. - In: OXFORD BULLETIN OF ECONOMICS AND STATISTICS. - ISSN 0305-9049. - STAMPA. - 70, 2:(2008), pp. 271-282.
Testing Exogeneity in the Bivariate Probit Model: a Monte Carlo Study
MONFARDINI, CHIARA;
2008
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 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
