Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study*
通过大量蒙特卡洛实验，检验双变量Probit模型中最大似然推断的有限样本性质，比较不同外生性检验的表现，为应用计量实践提供指南。
Abstract We conduct an extensive Monte Carlo experiment to examine the finite sample properties of maximum‐likelihood‐based inference in the bivariate probit model with an endogenous dummy. We analyse the relative performance of alternative exogeneity tests, the impact of distributional misspecification and the role of exclusion restrictions to achieve parameter identification in practice. The results allow us to infer important guidelines for applied econometric practice.