Journal
ECONOMETRIC REVIEWS
Volume 36, Issue 4, Pages 397-420Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/07474938.2014.976531
Keywords
Boundary outcomes; endogeneity; exponential regression; fractional regression; transformation regression models; unobserved heterogeneity; C25; C51; C26
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Funding
- Fundacao para a Ciencia e a Tecnologia [PTDC/EGE-ECO/119148/2010]
- Fundação para a Ciência e a Tecnologia [PTDC/EGE-ECO/119148/2010] Funding Source: FCT
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In this article, we suggest simple moment-based estimators to deal with unobserved heterogeneity in a special class of nonlinear regression models that includes as main particular cases exponential models for nonnegative responses and logit and complementary loglog models for fractional responses. The proposed estimators: (i) treat observed and omitted covariates in a similar manner; (ii) can deal with boundary outcomes; (iii) accommodate endogenous explanatory variables without requiring knowledge on the reduced form model, although such information may be easily incorporated in the estimation process; (iv) do not require distributional assumptions on the unobservables, a conditional mean assumption being enough for consistent estimation of the structural parameters; and (v) under the additional assumption that the dependence between observables and unobservables is restricted to the conditional mean, produce consistent estimators of partial effects conditional only on observables.
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