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    Chesher, Andrew and Rosen, Adam M. 2014. An instrumental variable random-coefficients model for binary outcomes. The Econometrics Journal, Vol. 17, Issue. 2, p. S1.
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SEMIPARAMETRIC STRUCTURAL MODELS OF BINARY RESPONSE: SHAPE RESTRICTIONS AND PARTIAL IDENTIFICATION

  • Andrew Chesher (a1)
Abstract

I study the partial identifying power of structural single-equation threshold-crossing models for binary responses when explanatory variables may be endogenous. The sharp identified set of threshold functions is derived for the case in which explanatory variables are discrete, and I provide a constructive proof of sharpness. There is special attention to a widely employed semiparametric shape restriction, which requires the threshold-crossing function to be a monotone function of a linear index involving the observable explanatory variables. The restriction brings great computational benefits, allowing calculation of the identified set of index coefficients without calculating the nonparametrically specified threshold function. With the restriction in place, the methods of the paper can be applied to produce identified sets in a class of binary response models with mismeasured explanatory variables.

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COPYRIGHT: © Cambridge University Press 2012
Corresponding author
*Address correspondence to Andrew Chesher, University College London, Gower St., London WC1E 6BT, United Kingdom; e-mail: andrew.chesher@ucl.ac.uk.
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