| Abstract: |
This paper presents computationally simple estimators for the index
coefficients in a binary choice model with a binary endogenous regressor
without relying on distributional assumptions or on large support conditions
and yields root-n consistent and asymptotically normal estimators. We develop
a multi-step method for estimating the parameters in a triangular, linear
index, threshold-crossing model with two equations. Such an econometric model
might be used in testing for moral hazard while allowing for asymmetric
information in insurance markets. In outlining this new estimation method two
contributions are made. The first one is proposing a novel ”matching”
estimator for the coefficient on the binary endogenous variable in the outcome
equation. Second, in order to establish the asymptotic properties of the
proposed estimators for the coefficients of the exogenous regressors in the
outcome equation, the results of Powell, Stock and Stoker (1989) are extended
to cover the case where the average derivative estimation requires a first
step semi-parametric procedure. |