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Binary outcomes, OLS, 2SLS and IV probit

Abstract:

For a binary outcome Y, generated by a simple threshold crossing model with a single exogenous normally distributed explanatory variable X, the OLS estimator of the coefficient on X in a linear probability model is a consistent estimator of the average partial effect of X. Even in this very simple setting, we show that when allowing for X to be endogenously determined, the 2SLS estimator, using a normally distributed instrumental variable Z, does not identify the same causal parameter. It ins...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1080/07474938.2022.2072321

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Oxford college:
Nuffield College
Role:
Author
ORCID:
0000-0002-4232-2783
Publisher:
Taylor and Francis
Journal:
Econometric Reviews More from this journal
Volume:
41
Issue:
8
Pages:
859-876
Publication date:
2022-05-13
Acceptance date:
2022-04-13
DOI:
EISSN:
1532-4168
ISSN:
0747-4938
Language:
English
Keywords:
Pubs id:
1251302
Local pid:
pubs:1251302
Deposit date:
2022-04-20

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