Testing for exogeneity in limited dependent variable models using a simplified likelihood ratio statistic
针对一个内生变量被截断的有限信息联立方程模型，提出一个简单的似然比统计量来检验连续观测内生变量的弱外生性，该统计量渐近局部最优，并用女性劳动供给模型示例。
Abstract A simple likelihood‐ratio statistic for the weak exogeneity of the continuously observed endogenous variables is presented for the limited information simultaneous equations models in which a single endogenous variable is censored. The statistic is a likelihood ratio test statistic for the exclusion of the reduced form residuals of the continuously observed endogenous variables and is asymptotically locally most powerful. The procedure is illustrated by an application to a model of female labour supply.