O'Reilly logo

Statistical Models and Causal Inference by Jasjeet S. Sekhon, David Collier, David A. Freedman

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

18Endogeneity in Probit Response Models

With Jasjeet S. Sekhon

        ABSTRACT. Endogeneity bias is an issue in regression models, including linear and probit models. Conventional methods for removing the bias have their own problems. The usual Heckman two-step procedure should not be used in the probit model: From a theoretical perspective, this procedure is unsatisfactory, and likelihood methods are superior. However, serious numerical problems occur when standard software packages try to maximize the biprobit likelihood function, even if the number of covariates is small. The log-likelihood surface may be nearly flat or may have saddle points with one small positive eigenvalue and several large negative eigenvalues. The conditions under which ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required