Browsing by Author "Lee, Lung-Fei"
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Item Amemiya's Generalized Least Squares and Tests of Overidentification in Simultaneous Equation Models with Qualitative or Limited Dependent Variables(Center for Economic Research, Department of Economics, University of Minnesota, 1991-05) Lee, Lung-FeiAmemiya's generalized least squares method for the estimation of simultaneous equation models with qualitative or limited dependent variables is known to be efficient relative to many popular two-stage estimators. This note points out that test statistics for overidentification restrictions can be obtained as by-products of Amemiya's generalized least squares procedure. Amemiya's procedure is shown to be a minimum chi-square method. The Amemiya procedure is valuable both for efficient estimation and for model evaluation of such models.Item Consistent Estimation of a Multivariate Doubly Truncated or Censored Tobit Model(Center for Economic Research, Department of Economics, University of Minnesota, 1981-08) Lee, Lung-FeiA multivariate regression model with some of the dependent variables doubly truncated normal is specified. A recursive relation for the moments of the truncated multivariate normal distribution is derived. Based on the recursive relations, some computationally simple and consistent instrumental variables estimation procedures are proposed. The asymptotic distribution of the estimators is analyzed.Item Discrete/Continuous Models of Consumer Demand with Binding Non-Negativity Constraints(Center for Economic Research, Department of Economics, University of Minnesota, 1990-10) Chiang, Jeongwen; Lee, Lung-FeiConsumers in this model are assumed to maximize utility with respect to two goods, one of which is inessential and available in several alternative forms. Decisions rules for the consumers are derived for two cases: choosing one alternative or forgoing the consumption of the inessential good. Choice probabilities, the demand equations and the zero-consumption probability are derived and reflect the interrelatedness of the discrete/continuous choices and the binding nonnegativity constraint. We show that traditional discrete/continuous choice models yield estimates of demand which arc biased and choice probabilities, which in some circumstances, arc not biased. The model is then applied to coffee data.Item Efficient Estimation of Dynamic Error Components Models with Panel Data(Center for Economic Research, Department of Economics, University of Minnesota, 1979-10) Lee, Lung-FeiItem Efficient Semiparametric Scoring Estimation of Sample Selection Models(Center for Economic Research, Department of Economics, University of Minnesota, 1990-02) Lee, Lung-FeiA semi parametric profile likelihood method is proposed for estimation of sample selection models. The method is a two step scoring semi parametric estimation procedure based on index formulation and kernel density estimation. Under some regularity conditions, the estimator is asymptotically normal. This method can be applied to estimation of general sample selection models with multiple regimes and sequential choice models with selectivity. For the binary choice sample selection model, the estimator is asymptotically efficiency in the sense that its asymptotic variance matrix attains the asymptotic bound of G. Chamberlain.Item Estimation of Error Components Model with Arma (p,q) Time Component - An Exact GLS Approach(Center for Economic Research, Department of Economics, University of Minnesota, 1978-11) Lee, Lung-FeiItem Estimation of Some Limited Dependent Variable Models with Application to Housing Demand(Center for Economic Research, Department of Economics, University of Minnesota, 1977-06) Lee, Lung-Fei; Trost, R. P.Item Estimation of Some Non-Normal Limited Dependent Variable Models(Center for Economic Research, Department of Economics, University of Minnesota, 1981-06) Lee, Lung-FeiEstimation of the Tobit models where the distribution of the disturbances belongs to the Pearson family of distribution is considered. Some simple recursive relations between the moments of the truncated distribution are derived. Those recursive relations provide some structural equations which are linear in variables but nonlinear in coefficients. The estimation method proposed is a nonlinear two stage least squares method.Item Estimations of a Model Choice Model for the Work Journey with Incomplete Observations(Center for Economic Research, Department of Economics, University of Minnesota, 1977-06) Lee, Lung-FeiItem Generalized Econometric Models with Selectivity(Center for Economic Research, Department of Economics, University of Minnesota, 1981-02) Lee, Lung-FeiItem Health and Wage: A Simultaneous Equation Model with Multiple Discrete Indicators(Center for Economic Research, Department of Economics, University of Minnesota, 1979-12) Lee, Lung-FeiItem Identification and Estimation in Binary Choice Models with Limited Dependent Variables(Center for Economic Research, Department of Economics, University of Minnesota, 1977-06) Lee, Lung-FeiItem Identification of Consumer Demand and Production Systems with Limited Dependent Variables(Center for Economic Research, Department of Economics, University of Minnesota, 1984-11) Lee, Lung-FeiSome similarities between the simultaneous equation Tobit model and the consumer demand and production systems with limited dependent variables are addressed. Such systems have their distinctive features for parameter identification. We consider the identification of some consumer demand and production structures without price variations across samples. The linear expenditure system and translog indirect utility function for consumers demand and the translog profit function for production economics with binding nonnegative constraints are analyzed. The presence of binding nonnegative constraints has effects on the identification of all the parameters in the nonhomothetic translog indirect utility function and the translog profit function but not the linear expenditure system.Item Microeconometric Analysis of Kink Points: The Convex Case(Center for Economic Research, Department of Economics, University of Minnesota, 1984-03) Lee, Lung-Fei; Pitt, Mark M.Consumer demand and production microeconomic models with kink points are analyzed. Kink points in demand or production schedules may arise due to binding nonnegative constraints, quantity rationing, production quotas or increasing block prices. The occurrence of various kink points divides the schedule into various regimes with structural change. The switching conditions for the regimes can be determined by the comparison of market prices with some appropriate virtual prices. Several equivalent switching regime conditions are also derived in terms of demand functions. The proposed approach unifies the direct and dual approaches and suggests appropriate econometric models for convex budget sets in consumer demand and production economics.Item Mixed Logit and Fully Recursive Logit Models(Center for Economic Research, Department of Economics, University of Minnesota, 1979-10) Lee, Lung-FeiMixed logit model has been proposed for modelling simultaneous effects of qualitative and continuous responses in the econometrics literatures. However, we point out that the concept of simultaneity does not apply in that model. It is an equivalent representation of a fully recursive logit model.Item Multivariate Regression and Simultaneous Equations Models with Some Dependent Variables Truncated(Center for Economic Research, Department of Economics, University of Minnesota, 1977-06) Lee, Lung-FeiItem On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models(Center for Economic Research, Department of Economics, University of Minnesota, 1990-09) Lee, Lung-FeiThis article has considered methods of simulated moments for estimation of discrete response models. We have introduced a modified method of simulated moments of McFadden [1989]. Using the same number of Monte Carlo draws as in McFadden's method of simulated moments, our estimator is asymptotically efficient relative to McFadden's estimator. In addition to the method of simulated moments, we have considered also maximum simulated likelihood estimation methods. The estimators are shown to be consistent and asymptotically normal without excessive number of Monte Carlo draws.Item On The Estimation if Probit Choice Model with Censored Dependent Variables and Amemiya's Principle(Center for Economic Research, Department of Economics, University of Minnesota, 1978-04) Lee, Lung-FeiItem On the First and Second Moments of the Truncated Multi-Normal Distribution and a Simple Estimator(Center for Economic Research, Department of Economics, University of Minnesota, 1979-10) Lee, Lung-FeiThe relations between the first two moments of multivariate normal random variables with some components truncated are found. Simple instrumental variable estimators are available. The analysis extends results of Amemiya, Sickles and Schmidt.Item On the Issues of Fixed Effects vs. Random Effects Econometric Models with Panel Data(Center for Economic Research, Department of Economics, University of Minnesota, 1978-06) Lee, Lung-Fei