Interval Regression Models with;Endogenous Explanatory Variables

Giulia Bettin and Riccardo (Jack) Lucchetti

No 339, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: We consider the estimation of linear models where the dependent variable is observed by intervals and some continuous regressors may be endogenous. Our approach is fully parametric and two estimators are proposed: a two-step estimator and a limited-information maximum-likelihood estimator. The results can be summarised as follows: the two-step estimator may offer some computational advantages over the LIML (Limited Information Maximum Likelihood) estimator, and a Monte Carlo experiment suggests that its relative efficiency is rather satisfactory. The LIML estimator, however, is probably simpler to implement and has the advantage of providing a framework in which several testing procedures are more straightforward to perform. The application of TSLS (Two-Stage Least Squares) to a proxy of the dependent variable built by taking midpoints, on the other hand, leads to inconsistent estimates. An example application is also included, which uses Australian data on migrants' remittances.

Keywords: Instrumental variables; Interval models; Migration; Remittances (search for similar items in EconPapers)
JEL-codes: C24 C25 F22 F24 (search for similar items in EconPapers)
Pages: 21
Date: 2010-04
New Economics Papers: this item is included in nep-mig
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://docs.dises.univpm.it/web/quaderni/pdf/339.pdf First version, 2010 (application/pdf)

Related works:
Journal Article: Interval regression models with endogenous explanatory variables (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:339

Access Statistics for this paper

More papers in Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali Contact information at EDIRC.
Bibliographic data for series maintained by Maurizio Mariotti ().