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Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
C. Gourieroux
J. J. Laffont
A. Monfort
Abstract
In this paper we consider the problem of the existence of a well-defined reduced form in the context of piecewise linear models. We give a general theorem which provides necessary and sufficient conditions, called coherency conditions, for such an existence. This result is applied to various kinds of models: self-selectivity models, simultaneous equation probit and tobit models, multimarkets disequilibrium models.
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