Marra, G;
Radice, R;
Filippou, P;
(2017)
Regression Spline Bivariate Probit Models: A Practical Approach to Testing for Exogeneity.
Communications in Statistics - Simulation and Computation
, 46
(3)
10.1080/03610918.2015.1041974.
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Abstract
Bivariate probit models can deal with a problem usually known as endogeneity. This issue is likely to arise in observational studies when confounders are unobserved. We are concerned with testing the hypothesis of exogeneity (or absence of endogeneity) when using regression spline recursive and sample selection bivariate probit models. Likelihood ratio and gradient tests are discussed in this context and their empirical properties investigated and compared with those of the Lagrange multiplier and Wald tests through a Monte Carlo study. The tests are illustrated using two datasets in which the hypothesis of exogeneity needs to be tested.
| Type: | Article |
|---|---|
| Title: | Regression Spline Bivariate Probit Models: A Practical Approach to Testing for Exogeneity |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1080/03610918.2015.1041974 |
| Publisher version: | http://dx.doi.org/10.1080/03610918.2015.1041974 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. © Taylor & Francis Group, LLC |
| Keywords: | Bivariate probit model, endogeneity, gradient test, lagrange multiplier test, likelihood ratio test, non-random sample selection, penalized regression spline, wald test. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/1476059 |
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