Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study

Monfardini, C; Radice, R; (2008) Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study. Oxford bulletin of economics and statistics, 70 (2). pp. 271-282. ISSN 0305-9049 DOI: https://doi.org/10.1111/j.1468-0084.2007.00486.x

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We conduct an extensive Monte Carlo experiment to examine the finite sample properties of maximum-likelihood-based inference in the bivariate probit model with an 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.

Item Type: Article
Faculty and Department: Faculty of Public Health and Policy > Dept of Health Services Research and Policy
URI: http://researchonline.lshtm.ac.uk/id/eprint/1695


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