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- Jena Economic Resea...
- Volume 7
- Endogenous variable...
Endogenous variables in non-linear models with mixed
effects: Inconsistence under perfect identification
conditions?
- Abgebildete Person
- Erschienen
- 10. August 2013
- Nummer des Discussion-Papers
-
2013-027
- Schlagwort(e)
-
bivariate ordered probit
bivariate probit
constant parameters
endogenous binary variables
mixed effects
- Zusammenfsg.
-
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