Welcome to the new version of CaltechAUTHORS. Login is currently restricted to library staff. If you notice any issues, please email coda@library.caltech.edu
Published September 2015 | public
Journal Article Open

Identification and estimation in a correlated random coefficients binary response model


We study a linear index binary response model with random coefficients BB allowed to be correlated with regressors X. We identify the mean of the distribution of B and show how the mean can be interpreted as a vector of expected relative effects. We use instruments and a control vector V to make X independent of B given V. This leads to a localize-then-average approach to both identification and estimation. We develop a √n-consistent and asymptotically normal estimator of a trimmed mean of the distribution of BB, explore its small sample performance through simulations, and present an application.

Additional Information

© 2015 Elsevier B.V. Received 29 January 2013; Received in revised form 8 April 2014; Accepted 24 March 2015; Available online 30 April 2015. We thank the seminar participants at Boston College, Rochester, and USC, as well as Kim Border and Lan Nguyen for helpful discussions.

Attached Files

Supplemental Material - mmc1.pdf


Files (209.5 kB)
Name Size Download all
209.5 kB Preview Download

Additional details

August 22, 2023
August 22, 2023