City Research Online

Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models

Marra, G., Radice, R. ORCID: 0000-0002-6316-3961 and Missiroli, S. (2014). Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models. Computational Statistics, 29(3-4), doi: 10.1007/s00180-013-0458-x

Abstract

Lagrange multiplier and Wald tests for the hypothesis of absence of unobserved confounding are extended to the context of semiparametric recursive and sample selection bivariate probit models. The finite sample size properties of the tests are examined through a Monte Carlo study using several scenarios: correct model specification, distributional and functional misspecification, with and without an exclusion restriction. The simulation results provide some guidelines which may be important for empirical analysis. The tests are illustrated using two datasets in which the issue of unobserved confounding arises.

Publication Type: Article
Additional Information: This article is published under an open access license.
Publisher Keywords: Endogeneity, Lagrange multiplier test, Non-random sample selection, Penalized regression spline Wald test
Subjects: H Social Sciences > HA Statistics
Q Science > QA Mathematics
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/20947
[img]
Preview
Text - Published Version
Available under License Creative Commons Attribution.

Download (448kB) | Preview

Export

Downloads

Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login