Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses

• Autor(a) principal: Ramalho, Esmeralda A.
• Data de Publicação: 2017
• Outros Autores: Ramalho, Joaquim J. S.
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.5/29303
• topic: Boundary Outcomes; Endogeneity; Exponential Regression; Fractional Regression; Transformation Regression Models; Unobserved Heterogeneity

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 forconsistentestimationofthestructuralparameters;and(v)undertheadditionalassumption that the dependence between observables and unobservables is restricted to the conditional mean, produce consistent estimators of partial effects conditional only on observables.