An instrumental variable random coefficients model for binary outcomes

rosen, adam and Chesher, Andrew (2012) An instrumental variable random coefficients model for binary outcomes. Other. UNSPECIFIED. (Unpublished)

Related URLs:

[img]
Preview
PDF (cemmap working paper)
373kB

Official URL: http://www.cemmap.ac.uk/cemmap/publication/id/6409

Abstract

In this paper we study a random coefficient model for a binary outcome. We allow for the possibility that some or even all of the regressors are arbitrarily correlated with the random coefficients, thus permitting endogeneity. We assume the existence of observed instrumental variables Z that are jointly independent with the random coefficients, although we place no structure on the joint determination of the endogenous variable X and instruments Z, as would be required for a control function approach. The model fits within the spectrum of generalised instrumental variable models studied in Chesher and Rosen (2012a), and we thus apply identification results from that and related studies to the present context, demonstrating their use. Specifically, we characterize the identified set for the distribution of random coefficients in the binary response model with endogeneity via a collection of conditional moment inequalities, and we investigate the structure of these sets by way of numerical illustration.

Item Type:Working Paper (Other)
Uncontrolled Keywords:Random coefficient model for a binary outcome
Subjects:5. Quantitative Data Handling and Data Analysis > 5.17 Quantitative Approaches (other)
ID Code:2920
Deposited By: PEPA User
Deposited On:22 Nov 2012 10:34
Last Modified:22 Nov 2012 10:34

Repository Staff Only: item control page