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Limited Information Estimators and Exogeneity Tests for Simultaneous Probit Models

Rivers, Douglas and Vuong, Quang H. (1984) Limited Information Estimators and Exogeneity Tests for Simultaneous Probit Models. Social Science Working Paper, 539. California Institute of Technology , Pasadena, CA. (Unpublished)

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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.

Item Type:Report or Paper (Working Paper)
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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.
Group:Social Science Working Papers
Series Name:Social Science Working Paper
Issue or Number:539
Record Number:CaltechAUTHORS:20170919-133926717
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:81572
Deposited By: Jacquelyn Bussone
Deposited On:19 Sep 2017 20:55
Last Modified:03 Oct 2019 18:44

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