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Limited information estimators and exogeneity tests for simultaneous probit models

Rivers, Douglas and Vuong, Quang H. (1988) Limited information estimators and exogeneity tests for simultaneous probit models. Journal of Econometrics, 39 (3). pp. 347-366. ISSN 0304-4076. http://resolver.caltech.edu/CaltechAUTHORS:20171102-151543294

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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 each estimator attains the Cramer–Rao lower bound are obtained. Simple tests for exogeneity based on the new two-step estimator 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. Finite sample comparisons between the new and alternative estimators are presented based on some Monte Carlo evidence. The performance of the proposed tests for exogeneity is also assessed.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/0304-4076(88)90063-2DOIArticle
http://www.sciencedirect.com/science/article/pii/0304407688900632PublisherArticle
http://resolver.caltech.edu/CaltechAUTHORS:20170919-133926717Related ItemWorking Paper
Additional Information:© 1988, Elsevier Science Publishers B.V. (North-Holland). Received December 1984, final version received January 1988. This research was partially supported by National Science Foundation Grants SES-8309994, SES-8410593, and SES-23638973. An earlier version was presented at the World Congress of the Econometric Society, Boston, 1985. We are grateful to two referees for helpful remarks. This paper is dedicated to some of our former colleagues at Caltech. Formerly SSWP 539.
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Funding AgencyGrant Number
NSFSES-8309994
NSFSES-8410593
NSFSES-23638973
Record Number:CaltechAUTHORS:20171102-151543294
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20171102-151543294
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:82915
Collection:CaltechAUTHORS
Deposited By: Jacquelyn Bussone
Deposited On:15 Nov 2017 23:35
Last Modified:15 Nov 2017 23:35

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