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

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  • Forrest D. Nelson

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.

Suggested Citation

  • Forrest D. Nelson, 1974. "On a General Computer Algorithm for the Analysis of Models with Limited Dependent Variables," NBER Working Papers 0068, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:0068
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    1. Johnson, Thomas, 1972. "Qualitative and Limited Dependent Variables in Economic Relationships," Econometrica, Econometric Society, vol. 40(3), pages 455-462, May.
    2. James Tobin, 1955. "The Application of Multivariate Probit Analysis to Economic Survey Data," Cowles Foundation Discussion Papers 1, Cowles Foundation for Research in Economics, Yale University.
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    Cited by:

    1. Various, 1975. "Staff Reports on Research Under Way," NBER Chapters, in: Understanding Economic Change, pages 9-120, National Bureau of Economic Research, Inc.

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