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- W609976008 abstract "This paper describes how endogeneity is a prevalent problem in diverse applications of logit models. Methods to address endogeneity rely on the availability of instrumental variables and the instruments have to be correlated with the endogenous variable but, at the same time, uncorrelated with the error term, which is not observable and makes its validation cumbersome. This paper extends the analysis of the novel test for the validity of instrumental variables in logit models proposed by the authors in 2008. This test relies in over-identification and uses a generalized definition of residuals in logit. Additionally, the paper proposes an alternative test that is easier to implement with standard estimation packages. This simpler version relies also in over-identification and consists in the inclusion of one of the instruments as an additional variable of an auxiliary logit model. Both tests were compared using Monte Carlo experimentation. The experiments consisted in a binary choice model that suffered endogeneity of and was latter corrected using: two good instruments; one good and one bad instrument; and two bad instruments. Experiments show that the power and size properties of both tests are equivalent, which makes the simpler version an attractive alternative for practitioners. Experiments also show that the power of both tests may be importantly reduced when the instruments are highly correlated. The paper additionally includes applications with real data on residential location for the cities of Lisbon, Portugal and Santiago, Chile. The hypothesis is that both models suffer of price endogeneity due to the omission of quality attributes that cannot be measured by the analyst. In both cases the instruments were built using the price of nearby dwellings outside certain vicinity. For Santiago and Lisbon, the correction for endogeneity resulted in estimates more concordant with economic theory. However, both tests for the validity of instruments resulted in a rejection for the Portuguese data." @default.
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- W609976008 date "2010-01-01" @default.
- W609976008 modified "2023-09-24" @default.
- W609976008 title "Assessment of Two Tests for the Validity Instruments in Logit Models" @default.
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