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Interaction and quadratic effects in probit model with endogenous regressors. (English) Zbl 1455.91243

Summary: This paper proposes a method to estimate the interaction and quadratic effects in probit model with endogenous regressors, which generalizes C. Ai and E. C. Norton’s study [“Interaction terms in logit and probit models”, Econ. Lett. 80, No. 1, 123–129 (2003; doi:10.1016/S0165-1765(03)00032-6)] on the interaction effect in nonlinear model without endogenous regressors. The method is applied to estimate the interaction effect of the new-typed information tool usage and social network and the quadratic effect of age on the household risky assets investment, where the bootstrap standard errors of the two effects are provided.

MSC:

91G10 Portfolio theory
91B42 Consumer behavior, demand theory
62P05 Applications of statistics to actuarial sciences and financial mathematics

Software:

Stata
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Full Text: DOI

References:

[1] Ai, C.; Norton, E. C., Interaction terms in logit and probit models, Econom. Lett., 80, 123-129 (2003)
[2] Chen, X.; Ji, X., The effect of house price on stock market participation in China: Evidence from the CHFS microdata, Emerg. Mark. Finance Trade, 53, 5, 1030-1044 (2017)
[3] Hardin, J. W., The robust variance estimator for two-stage models, Stata J., 2, 3, 253-266 (2002)
[4] Richard, P., Residual bootstrap tests in linear models with many regressors, J. Econometrics, 208, 367-394 (2019) · Zbl 1452.62508
[5] Wooldridge, J. M., Econometric Analysis of Cross Section and Panel Data (2002), MIT Press · Zbl 1441.62010
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