Journal article
A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching
Journal of econometrics, v 190(2)
Feb 2016
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We derive simple, multi-step estimation methods for a linear model with heterogeneous coefficients when there are both continuous and discrete endogenous explanatory variables. We consider both cross-sectional and panel data settings. When we extend our model to panel data, we use the Chamberlain–Mundlak device to allow heterogeneity to be correlated with time-varying explanatory variables. We apply the panel data methods we propose to estimation of a housing budget share equation where a homeownership dummy variable plays the role of the endogenous regime, and total expenditure plays the role of a continuous endogenous explanatory variable. We find that the constant coefficient model seems sufficient, and that the estimation methods we propose produce rather plausible estimates of the model parameters.
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Details
- Title
- A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching
- Creators
- Irina Murtazashvili - Drexel UniversityJeffrey M. Wooldridge - Michigan State University
- Publication Details
- Journal of econometrics, v 190(2)
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000369212400005
- Scopus ID
- 2-s2.0-84952980465
- Other Identifier
- 991019168189604721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Economics
- Mathematics, Interdisciplinary Applications
- Social Sciences, Mathematical Methods