[Limdep Nlogit List] recursive simultaneous equations estimation

[William Greene]

In the sample output shown, all estimates are the consistent MLEs.
The "Initial Estimates" are computed by OLS just to get starting
values.  The "Regression Equation" shown in the final output is the
coefficients of the y2 equation (that are in reduced form, so it is
a regression). They are all MLEs.
/Bill Greene

----- Original Message -----
From: "Robert A Nakosteen" <nakosteen at som.umass.edu>
To: limdep at limdep.itls.usyd.edu.au
Sent: Monday, September 8, 2008 2:35:58 PM GMT -05:00 Columbia
Subject: [Limdep Nlogit List] recursive simultaneous equations estimation

Greetings,

 

In the Limdep manual for Version 8.0, E21.4.5 describes an FIML model for a
recursive equations system. A tobit model is the primary object of
estimation in the model, while an OLS equation precedes it.  According to
the documentation, "The initial OLS . estimates will be inconsistent."

 

I take it that the final output of the model includes an initial equation
(referred to in the output as the "regression equation") that contains
consistent estimates. Is this correct?  The manual does not say that
explicitly.  

 

Thanks in advance.

 

Bob.

 

 

Robert A. Nakosteen

Professor

Isenberg School of Management

University of Massachusetts/Amherst

Amherst, MA 01003

 

Telephone:  413-545-5687

FAX: 413-545-3858

 

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