Testing Exogeneity in the Bivariate Probit Model

Download or read book Testing Exogeneity in the Bivariate Probit Model written by Chiara Monfardini and published by . This book was released on 2006 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We conduct an extensive Monte Carlo experiment to examine the finite samples properties of maximum likelihood based inference in the bivariate probit model with 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 of our investigation allow us to draw some important guidelines for the applied econometric practice.