Welcome to the new version of CaltechAUTHORS. Login is currently restricted to library staff. If you notice any issues, please email coda@library.caltech.edu
Published September 19, 2017 | Submitted
Report Open

Limited Information Estimators and Exogeneity Tests for Simultaneous Probit Models

Abstract

A two-step maximum likelihood procedure is proposed for estimating simultaneous probit models and is compared to alternative limited information estimators. Conditions under which these estimators attain the Cramer-Rao lower bound are stated. Simple tests of exogeneity are proposed and are shown to be asymptotically equivalent to one another and to have the same local asymptotic power as classical tests based on the limited information maximum likelihood estimator.

Additional Information

Published as Rivers, Douglas, and Quang H. Vuong. "Limited information estimators and exogeneity tests for simultaneous probit models." Journal of econometrics 39.3 (1988): 347-366.

Attached Files

Submitted - sswp539.pdf

Files

sswp539.pdf
Files (521.5 kB)
Name Size Download all
md5:7fc7356bba4735a62411efad67f3d26e
521.5 kB Preview Download

Additional details

Created:
August 19, 2023
Modified:
January 14, 2024