Amemiya's Generalized Least Squares and Tests of Overidentification in Simultaneous Equation Models with Qualitative or Limited Dependent Variables

Lee, Lung-Fei
1991-05
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Amemiya's Generalized Least Squares and Tests of Overidentification in Simultaneous Equation Models with Qualitative or Limited Dependent Variables

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1991-05

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Center for Economic Research, Department of Economics, University of Minnesota

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Working Paper

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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.

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Center for Economic Research Discussion Papers

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Discussion Paper
262

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Lee, L., (1991), "Amemiya's Generalized Least Squares and Tests of Overidentification in Simultaneous Equation Models with Qualitative or Limited Dependent Variables", Discussion Paper No. 262, Center for Economic Research, Department of Economics, University of Minnesota.

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Lee, Lung-Fei. (1991). Amemiya's Generalized Least Squares and Tests of Overidentification in Simultaneous Equation Models with Qualitative or Limited Dependent Variables. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55561.

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