Browsing by Subject "Limited dependent variables"

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    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-Fei
    Amemiya'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.