Step-by-step computation of corrected asymptotic variance-covariance matrices of two-stage estimators in a simultaneous equations model with a mixture of four continuous and binary dependent variables

Madhu S. Mohanty

Applied Economics, 2019, vol. 51, issue 21, 2249-2265

Abstract: The current study presents easily computable formulas for asymptotic variance-covariance matrices of the two-stage estimators in a simultaneous equation model with a mixture of four continuous and binary dependent variables. For the sake of econometrics practitioners, the study uses an illustrative example from the current literature and demonstrates step-by-step computation of these variance-covariance matrices by using the matrix routine of a popular econometric software.

Date: 2019
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DOI: 10.1080/00036846.2018.1540856

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