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Estimating multiple equation hybrid models with endogenous dummy regressors

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  • Joachim Wilde

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.

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  • Joachim Wilde, 2004. "Estimating multiple equation hybrid models with endogenous dummy regressors," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(3), pages 296-312, August.
    • Handle: RePEc:bla:stanee:v:58:y:2004:i:3:p:296-312
    DOI: 10.1111/j.1467-9574.2004.00122.x
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    1. Hujer, Reinhard & Caliendo, Marco & Radic, Dubravko, 2002. "Skill Biased Technological and Organizational Change: Estimating a Mixed Simultaneous Equation Model Using the IAB Establishment Panel," IZA Discussion Papers 566, Institute of Labor Economics (IZA).
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