Document Type
Working Paper
Date
2005
Embargo Period
6-28-2012
Keywords
simulation-based two-step (STS) estimator
Language
English
Disciplines
Econometrics
Description/Abstract
This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approach. The first step consists of simulating the residuals of the reduced-form equation for endogenous regressors. The second step is a regression model (linear, latent or discrete) with the simulated residual as an additional regressor. In this paper we develop the asymptotic theory for the STS estimator and its rate of convergence.
Recommended Citation
Kan, Kamhon and Kao, Chihwa, "Simulation-Based Two-Step Estimation with Endogenous Regressors" (2005). Center for Policy Research. Paper 88.
http://surface.syr.edu/cpr/88
Source
Metadata from RePEc
Additional Information
Harvest from RePEc at http://repec.org