Amemiya‘s generalized least squares and tests of overidentification in simultaneous equation models with qualitative or limited dependent variables

DOI10.1080/07474939208800242zbMath0761.62168OpenAlexW1553852406MaRDI QIDQ4031298

Lung-fei Lee

Publication date: 1 April 1993

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://purl.umn.edu/55561

zbMATH Keywords

efficient estimationmodel evaluationminimum distance methodlimited dependent variablesoveridentification testsminimum chi-square methodAmemiya's generalized least squares procedureestimation of simultaneous equation modelsoveridentification restrictionsqualitative dependent variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

Lending cycles ⋮ Efficient minimum distance estimator for quantile regression fixed effects panel data ⋮ POOLING ESTIMATES WITH DIFFERENT RATES OF CONVERGENCE: A MINIMUM χ² APPROACH WITH EMPHASIS ON A SOCIAL INTERACTIONS MODEL ⋮ Consistent estimation of limited dependent variable models despite misspecification of distribution

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Multivariate regression models for panel data
• Efficient estimation of limited dependent variable models with endogenous explanatory variables
• A Method of Generating Best Asymptotically Normal Estimates with Application to the Estimation of Bacterial Densities
• The Estimation of a Simultaneous Equation Generalized Probit Model
• The Estimation of a Simultaneous-Equation Tobit Model
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Distance Functions and Regular Best Asymptotically Normal Estimates
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