Binary outcomes, OLS, 2SLS and IV probit
نویسندگان
چکیده
For a binary outcome Y, generated by simple threshold crossing model with single exogenous normally distributed explanatory variable X, the OLS estimator of coefficient on X in linear probability is consistent average partial effect X. Even this very setting, we show that when allowing for to be endogenously determined, 2SLS estimator, using instrumental Z, does not identify same causal parameter. It instead estimates scaled Z first-stage denoted ?1, or equivalently, it population predicted value Z?1. These parameters can differ substantially as normal Probit model, which implies care has taken interpreting estimation results model. Under joint normality error terms, IV maximum likelihood The two-step control function procedure Rivers and Vuong also estimate parameter consistently, but double averaging needed, one over distribution V If performed V, then estimated equal 0, standard Wald test hypothesis correct size under strong instrument asymptotics. We that, general, weak F-test interpretations do apply setting.
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2022
ISSN: ['1532-4168', '0747-4938']
DOI: https://doi.org/10.1080/07474938.2022.2072321