Efficient estimation of limited dependent variable models with endogenous explanatory variables
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Publication:1097623
DOI10.1016/0304-4076(87)90001-7zbMath0635.62113OpenAlexW2006425849MaRDI QIDQ1097623
Publication date: 1987
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(87)90001-7
asymptotic efficiencyprobittobittwo-stage estimatorsasymptotically efficient estimationlimited dependent variable modelsendogenous explanatory variablesAmemiya GLS estimatorsmodified minimum chi-square methodnormally distributed disturbancesreduced form coefficientsreduced form residuals
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)
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