Estimation of cross sectional and panel data censored regression models with endogeneity

Bo E. Honore, Luojia Hu

Research output: Contribution to journalArticle

35 Scopus citations

Abstract

It is very difficult to deal with endogeneity in limited dependent variables models. Unless strong assumptions are made on the exact relationship between the endogenous regressors and the instruments, it is generally not possible to apply instrumental variable type techniques. This paper derives moment conditions that are useful in estimating censored regression models with endogenous regressors. These moment conditions are motivated by panel data censored regression models with predetermined (but not strictly exogenous) explanatory variables, but the main insight is also applicable to cross sectional models with endogenous explanatory variables.

Original languageEnglish (US)
Pages (from-to)293-316
Number of pages24
JournalJournal of Econometrics
Volume122
Issue number2
DOIs
StatePublished - Oct 1 2004

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Keywords

  • Censoring
  • Endogeneity
  • Panel data

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