Document Type

Working Paper

Date

2005

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.

Additional Information

Harvest from RePEc at http://repec.org

Source

Metadata from RePEc

Included in

Econometrics Commons

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