- A-Z
- Jena Economic Resea...
- Volume 7
- Endogenous variable...
Endogenous variables in non-linear models with mixed
effects: Inconsistence under perfect identification
conditions?
- Pictured person
- published
- Sat Aug 10 2013
- Number of discussion paper
-
2013-027
- keyword(s)
-
bivariate ordered probit
bivariate probit
constant parameters
endogenous binary variables
mixed effects
- abstract
-
This paper examines the consequences of introducing a normally distributed effect into a system where the dependent variable is ordered and the explanatory variable is ordered and endogenous. Using simulation techniques we show that a naïve bivariate ordered probit estimator which fails to take a mixed effect into account will result in inconsistent estimates even when identification conditions are optimal. Our results suggest this finding only applies to non-linear endogenous systems.
- article pub. typess JER
- Research article
- article languages JER
- Englisch
- JEL-Classification for JER
- C35 - Discrete Regression and Qualitative Choice Models ; C51 - Model Construction and Estimation