NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Estimation of Limited-Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice

Joshua D. Angrist

NBER Technical Working Paper No. 248
Issued in January 2000
NBER Program(s):   TWP

Applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and non-negative outcomes. I argue here that much of the difficulty with limited-dependent variables comes from a focus on structural parameters, such as index coefficients, instead of causal effects. Once the object of estimation is taken to be the causal effect of treatment, a number of simple strategies is available. These include conventional two-stage least squares, multiplicative models for conditional means, linear approximation of nonlinear causal models, models for distribution effects, and quantile regression with an endogenous binary regressor. The estimation strategies discussed in the paper are illustrated by using multiple births to estimate the effect of childbearing on employment status and hours of work.

download in pdf format
   (3119 K)

email paper

This paper is available as PDF (3119 K) or via email.

An online appendix is available for this publication.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0248

Published: Angrist, Joshua D. "Estimation Of Limited Dependent Variable Models With Dummy Endogenous Regressors: Simple Strategies For Empirical Practice," Journal of Business and Economic Statistics, 2001, v19(1,Jan), 2-15.

Users who downloaded this paper also downloaded these:
Angrist t0115 Instrumental Variables Estimation of Average Treatment Effects in Econometrics and Epidemiology
Feldstein w16451 Preventing a National Debt Explosion
Heckman The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models
Angrist and Krueger w8456 Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments
Heckman w0177 Dummy Endogenous Variables in a Simultaneous Equation System
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us