Publication Type
Journal Article
Version
publishedVersion
Publication Date
2005
Abstract
The parameters of ordered discrete response (ODR) models are identified only up to a positive scale. In this paper, we examine the identification issue for simultaneous equations with ODR, where the well-known identification problem in simultaneous equations of recovering structural-form parameters from reduced-form parameters is compounded with the ODR identification problem. We allow the thresholds in ODR to be regressor dependent as well as constant; the former is particularly challenging because threshold parameters get mixed with regression parameters, adding one more dimension to the identification problem. We also explore a cross-equation restriction on threshold differences, under which the structural form parameters are fully identified as if the dependent variables are continuously distributed. An empirical example with farm-household joint labour supply is provided to illustrate the identification issues, to show how our proposals work and to apply tests devised for the threshold constancy and cross-equation restrictions. [Econometrics, Mathematical models, Studies
Keywords
Identification, Ordered discrete response, Simultaneous equations.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometrics Journal
Volume
8
Issue
2
First Page
176
Last Page
196
ISSN
1368-4221
Identifier
10.1111/j.1368-423X.2005.00159.x
Publisher
Wiley
Citation
Lee, Myoung-jae and Kimhi, A..
Simultaneous Equations in Ordered Discrete Responses with Regressor-Dependent Thresholds. (2005). Econometrics Journal. 8, (2), 176-196.
Available at: https://ink.library.smu.edu.sg/soe_research/500
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/j.1368-423X.2005.00159.x
