Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1978, Volume 46, Issue 5

The Estimation of a Simultaneous Equation Generalized Probit Model<1193:TEOASE>2.0.CO;2-Z
p. 1193-1205

Takeshi Amemiya

This 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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