Formulation and Statistical Analysis of the Mixed, Continuous/Discrete Dependent Variable Model in Classical Production Theory
针对同时包含连续和离散内生变量的数据，提出一个经济与随机过程模型，并比较了最大似然估计与一种更简单的QREG估计量，后者在特定条件下也是最优的。
Data sets which contain jointly endogenous discrete and continuous variables often occur in practice. This paper presents a model of the economic and stochastic processes generating such data as well as methods of estimation. A maximum likelihood estimator is examined and found to exhibit the usual optimality but it is computationally burdensome. A simpler estimator, the QREG, which is a simple weighted average of separate probit (or logit) and regression estimates is suggested as an attractive alternative. The QREG is also found to be optimal but only when a certain covariance restriction is found to hold. Thus a test of the restriction based on the joint distribution of separate probit and regression estimates is proposed.