Newey, W.K. (1987) Efficient estimation of limited dependent variable models with endogenous explanatory variables. Journal of Econometrics, 36 (3). pp. 231-250.
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Abstract
This paper discusses asymptotically efficient estimation of the parameters of limited dependent variable models with endogenous explanatory variables. General results on asymptotic efficiency of two-stage and Amemiya GLS estimators are derived and used to obtain a simple. Asymptotically efficient estimator of the structural coefficients. This estimator can be caiculated by applying GLS to estimates of the reduced form coefficients that are obtained by using reduced form residuals as additional explanatory variables. It is also shown that it is possible to obtain asymptotically efficient estimators of the other coefficients by a modified minimum cm-square method
| Item Type: | Article |
|---|---|
| Author Affiliation: | Prrnceton Unwersif_v, Princekm, NJ 08544, USA |
| Subjects: | Statistics and Experimentation Crop Improvement |
| Divisions: | General |
| Depositing User: | Mr Daneti Raju |
| Date Deposited: | 07 Feb 2014 08:34 |
| Last Modified: | 07 Feb 2014 08:34 |
| Official URL: | http://dx.doi.org/10.1016/0304-4076(87)90001-7 |
| URI: | http://eprints.icrisat.ac.in/id/eprint/12511 |
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