limited information estimators and exogeneity tests for simultaneous probit models（有限的信息估计和exogeneity测试同步概率单位模型）.pdfVIP

Journal of Econometrics 39 (1988) 347-366. North-Holland LIMITED INFORMATION ESTIMATORS AND EXOGENEITY TESTS FOR SIMULTANEOUS PROBIT MODELS* Douglas RIVERS University of California, Los Angeles, CA 90069, USA Quang H. VUONG University of Southern California, Los Angeles, CA 90089, USA Received December 1984, final version received January 1988 A two-step maximum likelihood procedure is proposed for estimating simultaneous probit models and is compared to alternative limited information estimators. Conditions under which each estimator attains the Cramer-Rao lower bound are obtained. Simple tests for exogeneity based on the new two-step estimator are proposed and are shown to be asymptotically equivalent to one another and to have the same local asymptotic power as classical tests based on the limited information maximum likelihood estimator. Finite sample comparisons between the new and alternative estimators are presented based on some Monte Carlo evidence. The performance of the proposed tests for exogeneity is also assessed. 1. Introduction In this paper we investigate the properties of various estimators for probit models where some or all of the explanatory variables may be endogenous. A special case of this problem, which has received considerable attention, occurs when one endogenous variable in a simultaneous equatio