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摘要翻译：
本文旨在为使用一类带有虚拟内生变量的二元阈值交叉模型的实证研究者提供指导。研究人员通常采用的一种方法是将不可观测项的联合分布描述为二元正态分布，从而得到二元probit模型。为了解决这一实践中的错误规范问题，我们提出了一个易于实现的半参数估计框架，该框架包含参数copula和非参数边际分布。我们建立了筛子最大似然估计的渐近理论，包括根-N正态性，可用于对单个结构参数和平均处理效应(ATE)进行推断。为了表明所提出的框架的实际相关性，我们通过大量的蒙特卡罗模拟练习进行了敏感性分析。结果表明，参数估计尤其是ATE对参数描述敏感，而半参数估计对潜在的数据生成过程具有鲁棒性。然后我们提供了一个实证说明，在那里我们估计健康保险对医生访问的影响。在本文中，我们还表明，排除工具的缺失可能导致鉴定失败，这与一些实践者所认为的相反。
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英文标题：
《Estimation in a Generalization of Bivariate Probit Models with Dummy
Endogenous Regressors》
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作者：
Sukjin Han and Sungwon Lee
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
The purpose of this paper is to provide guidelines for empirical researchers who use a class of bivariate threshold crossing models with dummy endogenous variables. A common practice employed by the researchers is the specification of the joint distribution of the unobservables as a bivariate normal distribution, which results in a bivariate probit model. To address the problem of misspecification in this practice, we propose an easy-to-implement semiparametric estimation framework with parametric copula and nonparametric marginal distributions. We establish asymptotic theory, including root-n normality, for the sieve maximum likelihood estimators that can be used to conduct inference on the individual structural parameters and the average treatment effect (ATE). In order to show the practical relevance of the proposed framework, we conduct a sensitivity analysis via extensive Monte Carlo simulation exercises. The results suggest that the estimates of the parameters, especially the ATE, are sensitive to parametric specification, while semiparametric estimation exhibits robustness to underlying data generating processes. We then provide an empirical illustration where we estimate the effect of health insurance on doctor visits. In this paper, we also show that the absence of excluded instruments may result in identification failure, in contrast to what some practitioners believe.
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PDF链接：
https://arxiv.org/pdf/1808.05792
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