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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. doi:10.1016/0304-4076(88)90063-2.

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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 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.

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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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ID Code:82915
Deposited By: Jacquelyn Bussone
Deposited On:15 Nov 2017 23:35
Last Modified:15 Nov 2021 19:53

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