Asymptotic Covariance Matrices of Two-Stage Probit and Two-Stage Tobit Methods for Simultaneous Equations Models with Selectivity

DOI10.2307/1911112zbMath0435.62109OpenAlexW2058146119MaRDI QIDQ3875185

Robert P. Trost, Lung-fei Lee, G. S. Maddala

Publication date: 1980

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911112

zbMATH Keywords

heteroscedasticitytwo-stage estimationselectivityasymptotic covariance matricesprobit estimationsimulatenous equations modelstobit estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Statistical methods; economic indices and measures (91B82)

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