Econometrica: Sep 1978, Volume 46, Issue 5
The Estimation of a Simultaneous Equation Generalized Probit Model
Takeshi AmemiyaThis 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.
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