Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095978 | Journal of Econometrics | 2015 | 15 Pages |
Abstract
We study a linear index binary response model with random coefficients B allowed to be correlated with regressors X. We identify the mean of the distribution of B and show how the mean can be interpreted as a vector of expected relative effects. We use instruments and a control vector V to make X independent of B given V. This leads to a localize-then-average approach to both identification and estimation. We develop a n-consistent and asymptotically normal estimator of a trimmed mean of the distribution of B, explore its small sample performance through simulations, and present an application.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Stefan Hoderlein, Robert Sherman,