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Marginal effects for probit and tobit with endogeneity

Kirill S. Evdokimov et al.

Econometrics Journal2025https://doi.org/10.1093/ectj/utaf010article
AJG 3ABDC A*
Weight
0.37

Abstract

Summary When evaluating partial effects, it is important to distinguish between structural endogeneity and measurement errors. In contrast to linear models, these two sources of endogeneity affect partial effects differently in non-linear models. We study this issue, focusing on the instrumental variable (IV) probit and tobit models. We show that even when a valid instrumental variable is available, failing to differentiate between the two types of endogeneity can lead to either under- or overestimation of the partial effects. We develop simple estimators of the bounds on the partial effects and provide easy-to-implement confidence intervals that correctly account for both types of endogeneity. We illustrate the methods in a Monte Carlo simulation and an empirical application.

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https://doi.org/https://doi.org/10.1093/ectj/utaf010

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@article{kirill2025,
  title        = {{Marginal effects for probit and tobit with endogeneity}},
  author       = {Kirill S. Evdokimov et al.},
  journal      = {Econometrics Journal},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1093/ectj/utaf010},
}

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Marginal effects for probit and tobit with endogeneity

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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