On a General Computer Algorithm for the Analysis of Models with Limited Dependent Variables

Forrest D. Nelson

No 68, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Several econometric models for the analysis of relationships with limited dependent variables have been proposed, including the probit, Tobit, two-limit probit, ordered discrete, and friction models. Widespread application of these methods has been hampered by the lack of suitable computer programs. This paper provides a concise survey of the various models; suggests a general functional model under which they may be formulated and analyzed; reviews the analytic problems and the similarities and dissimilarities of the models; and outlines the appropriate and necessary methods of analysis including, but not limited to, estimation. It is thus intended to serve as a guide for users of the various models, for the preparation of suitable computer programs, for the users of those programs; and, more specifically, for the users of the program package utilizing the functional model as implemented on the NBER TROLL system.

Date: 1974-10
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Published as (Published as "Specification and Estimation of a Simultaneous-Equation Model with Limited Dependent Variables") International Economic Review, Vol. 19, no. 3 (1978): 695-710.
Published as On a General Computer Algorithm for the Analysis of Models with Limited Dependent Variables , Forrest D. Nelson. in Annals of Economic and Social Measurement, Volume 5, number 4 , Berg. 1976

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