Published November 1984
| Submitted
Working Paper
Open
Limited Information Estimators and Exogeneity Tests for Simultaneous Probit Models
- Creators
- Rivers, Douglas
- Vuong, Quang H.
Chicago
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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
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Additional details
- Eprint ID
- 81572
- Resolver ID
- CaltechAUTHORS:20170919-133926717
- Created
-
2017-09-19Created from EPrint's datestamp field
- Updated
-
2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 539