Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1978, Volume 46, Issue 5

The Estimation of a Simultaneous Equation Generalized Probit Model

https://doi.org/0012-9682(197809)46:5<1193:TEOASE>2.0.CO;2-Z
p. 1193-1205

Takeshi Amemiya

This article considers a two-equation simultaneous equation model in which one of the dependent variables is completely observed and the other is observed only to the extent of whether or not it is positive. A class of generalized least squares estimators are proposed and their asymptotic variance-covariance matrices are obtained. The estimators are based on the principle which is applicable whenever the structural parameters need to be determined from the estimates of the reduced form parameters.


Log In To View Full Content