Estimation of Limited-Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice / Joshua D. Angrist.

Format:

Book

Author/Creator:

Angrist, Joshua D.

Contributor:

National Bureau of Economic Research.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0248.

NBER technical working paper series no. t0248

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Estimation of Limited-Dependent Variable Models with Dummy Endogenous Regressors

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2000.

Summary:

Applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and non-negative outcomes. I argue here that much of the difficulty with limited-dependent variables comes from a focus on structural parameters, such as index coefficients, instead of causal effects. Once the object of estimation is taken to be the causal effect of treatment, a number of simple strategies is available. These include conventional two-stage least squares, multiplicative models for conditional means, linear approximation of nonlinear causal models, models for distribution effects, and quantile regression with an endogenous binary regressor. The estimation strategies discussed in the paper are illustrated by using multiple births to estimate the effect of childbearing on employment status and hours of work.

Notes:

Print version record

January 2000.