| Authors |
|
| Publication date |
2005
|
| Series |
UvA Econometrics Discussion Paper, 2005/05
|
| Number of pages |
13
|
| Publisher |
Amsterdam: Amsterdam School of Economics
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
In binary discrete regression models like logit or probit the omission of a relevant regressor (even if it is orthogonal) depresses the remaining B coefficients towards zero. For the probit model, Wooldridge (2002) has shown that this bias does not carry over to the effect of the regressor on the outcome. We find by simulations that this also holds for logit models, even when the omitted variable leads to severe misspecification of the disturbance. More simulations show that estimates of these effects by logit analysis are also impervious to pure misspecification of the disturbance.
|
| Document type |
Working paper
|
| Language |
English
|
| Published at |
http://www1.feb.uva.nl/pp/bin/490fulltext.pdf
|
|
Downloads
|
|
|
Permalink to this page
|
