Estimating multiple equation hybrid models with endogenous dummy regressors*

Joachim Wilde ()

Statistica Neerlandica, 2004, vol. 58, issue 3, 296-312

Abstract: Estimating multiple equation hybrid models with endogenous dummy regressors is burdensome if the number of dummies and equations is large. Therefore, after clarifying model structure and identification issues the paper presents a generalization of the Amemiya principle. The new estimator reduces the computational costs and is flexible with regard to different types of variables. Furthermore, it is consistent and asymptotically normal distributed.

Date: 2004
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https://doi.org/10.1111/j.1467-9574.2004.00122.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:58:y:2004:i:3:p:296-312

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