arXiv 13 Aug 2024 · Econometrics · publishedOxford Bulletin of Economics and Statistics (2025) · 2 citations (OpenAlex)
arXiv:2408.06977 · PDF · DOI · OpenAlex · Extracted main text
For binary outcome models, an endogeneity correction based on nonlinear rank-based transformations is proposed. Identification without external instruments is achieved under one of two assumptions: either the endogenous regressor is a nonlinear function of one component of the error term, conditional on the exogenous regressors, or the dependence between the endogenous and exogenous regressors is nonlinear. Under these conditions, we prove consistency and asymptotic normality. Monte Carlo simulations and an application on German insolvency data illustrate the usefulness of the method.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Breitung, J., A. Mayer, and D. Wied (2024) Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations | 1.000 | 10 | 5 | 100% |
| 2 | Dong, Y (2010) Endogenous regressor binary choice models without instruments, with an application to migration | 1.000 | 8 | 3 | 100% |
| 3 | Zhao, Y., I. Gijbels, and I. van Keilegom (2020) Inference for Semiparametric Gaussian Copula Model Adjusted for Linear Regression Using Residual Ranks | 0.928 | 4 | 4 | 100% |
| 4 | Zhao, Y., I. Gijbels, and I. V. Keilegom (2022) Parametric Copula Adjusted for Non- and Semiparametric Regression | 0.843 | 3 | 3 | 100% |
| 5 | Park, S. and S. Gupta (2012) Handling Endogenous Regressors by Joint Estimation Using Copulas | 0.811 | 4 | 2 | 100% |
| 6 | Park, S. and S. Gupta (2024) A Review of Copula Correction Methods to Address Regressor–Error Correlation | 0.737 | 3 | 2 | 100% |
| 7 | Rivers, D. and Q. H. Vuong (1988) Limited Information Estimators and Exogeneity Tests for Simultaneous Probit Models | 0.737 | 3 | 2 | 100% |
| 8 | Escanciano, J. C., D. Jacho-Chávez, and A. Lewbel (2016) Identification and estimation of semiparametric two-step models | 0.644 | 4 | 1 | 100% |
| 9 | Amemiya, T (1985) Advanced Econometrics | 0.644 | 2 | 2 | 100% |
| 10 | Blundell, R. W. and J. L. Powell (2004) Endogeneity in Semiparametric Binary Response Models | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 49 scored citations.