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Generalized econometric models with selectivity

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LF Lee - Econometrica: Journal of the Econometric Society, 1983 - JSTOR
IN LEE [12] AND DUNCAN [5], among others, econometric models with both continuous and
discrete variables are formulated. These models unify the censored regression models and
discrete choice models. These models, formulated with normal distributions, are restricted ...
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Unionism and wage rates: A simultaneous equations model with qualitative and limited dependent variables

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LF Lee - International economic review, 1978 - JSTOR
A large number of studies have been made on the impact of labor unions on wage rates of
workers. These studies generally have found positive and significant effects of unionism on
wage rates. More recently, a few authors have studied the simultaneous effects between ...
Cited by 988 - Related articles - All 7 versions

The measurement and sources of technical inefficiency in the Indonesian weaving industry

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MM Pitt… - Journal of Development Economics, 1981 - Elsevier
Abstract Production function models are estimated with a time series of cross-section data
on Indonesian weaving establishments. The sources of technical inefficiency are
investigated. Three firm attributes are identified as being potentially related to firm ...
Cited by 815 - Related articles - All 6 versions

Some approaches to the correction of selectivity bias

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LF Lee - The Review of Economic Studies, 1982 - restud.oxfordjournals.org
Abstract This article addresses the issue of specification of econometric selectivity models
and suggests approaches for the correction of selectivity bias. Our approaches provide ways
to specify selectivity models without the assumption of multinormal distribution. Some ...
Cited by 372 - Related articles - Library Search - All 12 versions

Estimation of some limited dependent variable models with application to housing demand

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LF Lee… - Journal of Econometrics, 1978 - Elsevier
Abstract A model which extends the switching regression models and combines several
different limited dependent variable models into a general framework is introduced. Methods
to get consistent estimates and asymptotic efficient estimates are derived. Our estimation ...
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Asymptotic covariance matrices of two-stage probit and two-stage tobit methods for simultaneous equations models with selectivity

LF Lee, GS Maddala… - Econometrica: Journal of the Econometric …, 1980 - JSTOR
The paper discusses the two-stage estimation method for switching simultaneous equations
models where the criterion function determining the switching is of the probit type and the
tobit type. It derives the asymptotic covariance matrices of these estimators and shows that ...
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Asymptotic Distributions of Quasi‐Maximum Likelihood Estimators for Spatial Autoregressive Models

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LF Lee - Econometrica, 2004 - Wiley Online Library
This paper investigates asymptotic properties of the maximum likelihood estimator and the
quasi-maximum likelihood estimator for the spatial autoregressive model. The rates of
convergence of those estimators may depend on some general features of the spatial ...
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Microeconometric demand system with binding nonnegativity constraints: the dual approach

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LF Lee… - Econometrica: Journal of the Econometric Society, 1986 - JSTOR
This paper considers the problem of specifying and estimating demand systems for samples
which contain a significant proportion of observation with zero consumption of one or more
goods. Our approach uses virtual prices, which are dual to the Kuhn-Tucker conditions, to ...
Cited by 235 - Related articles - Get it from MIT Libraries - All 6 versions

Identification and estimation in binary choice models with limited (censored) dependent variables

LF Lee - Econometrica: Journal of the Econometric Society, 1979 - JSTOR
In this paper, a class of statistical models which generate simultaneous equation models
with both discrete and continuous endogenous variables is introduced. This class of models
can also be regarded as a new class of switching simultaneous equation models which ...
Cited by 218 - Related articles - Get it from MIT Libraries - All 5 versions

Semiparametric least squares estimation of multiple index models: single equation estimation

H Ichimura… - … and statistics: Proceedings of the Fifth …, 1991 - books.google.com
Supported by increasing availability of extensive data sets and computational
advancements, a broad class of nonlinear econometric models has been proposed to study
more and more realistic empirical situations. 1 Typically these parametric modeling efforts ...
Cited by 183 - Related articles

Testing the normality assumption in limited dependent variable models

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AK Bera, CM Jarque… - International Economic Review, 1984 - JSTOR
Limited dependent variable (LDV) models arise when the dependent variable is restricted in
some way. The examples are numerous and contain situations (i) where the dependent
variable is restricted and takes a limiting value with a positive probability and (ii) where it ...
Cited by 181 - Related articles - All 6 versions

[PDF] Recursive models with qualitative endogenous variables

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GS Maddala… - 1976 - nber.org
Models with qualitative endogenous variables have received a lot of attention by
econometricians in recent years. Broadly speaking the models fall in two categories: those
that start with a multivariate logistic distribution (see Goodman [2], Nerlove and Press [6]) ...
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Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances

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L Lee - Econometric Reviews, 2003 - Taylor & Francis
Abstract Estimation of a cross‐sectional spatial model containing both a spatial lag of the
dependent variable and spatially autoregressive disturbances are considered.[Kelejian and
Prucha (1998)] described a generalized two‐stage least squares procedure for estimating ...
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Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability

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LF Lee… - Econometrica: Journal of the Econometric Society, 1984 - JSTOR
An exogenous switching regression model with imperfect regime classification information is
specified and applied to a study of cartel stability. An efficient estimation method is proposed
which takes this imperfect information into account. The consequences of misclassification ...
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Health and wage: a simultaneous equation model with multiple discrete indicators

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LF Lee - International Economic Review, 1982 - JSTOR
In this article, we propose all econometric approach for estimating the simultaneouLs effects
of health and wages in a structural equations framework. In the theoretical works of
Grossmana [1972a, 1972b], health is viewed as anl elldoge-n1ouLsly determined capital ...
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Technical training and earnings: a polychotomous choice model with selectivity

RP Trost… - The Review of Economics and Statistics, 1984 - JSTOR
This paper presents a model with polychotomous choices and selectivity and then applies it
to the problem of estimating the returns to technical school training. Using the National
Longitudinal Survey data set on young men the paper finds evidence of self-selectivity in ...
Cited by 145 - Related articles - Get it from MIT Libraries - All 6 versions

On efficiency of methods of simulated moments and maximum simulated likelihood estimation of discrete response models

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LF Lee - Econometric Theory, 1992 - Cambridge Univ Press
Abstract This article considers methods of simulated moments for estimation of discrete
response models. It is possible to use the same set of random numbers to simulate the
choice probabilities for each individual in the sample. In addition to the method of ...
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The stochastic frontier production function and average efficiency* 1:: An empirical analysis

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LF Lee… - Journal of Econometrics, 1978 - Elsevier
Abstract This paper provides an empirical estimation of a stochastic frontier Cobb-Douglas
production function using micro data from a cross-section of Brazilian manufacturing firms.
Following a procedure developed by Aigner, Lovell and Schmidt incorporating both ...
Cited by 118 - Related articles - All 5 versions

Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models

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LF Lee - Econometric theory, 2002 - Cambridge Univ Press
Least squares estimation has casually been dismissed as an inconsistent estimation method
for mixed regressive, spatial autoregressive models with or without spatial correlated
disturbances+ Although this statement is correct for a wide class of models, we show that, ...
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The effects of improved nutrition, sanitation, and water quality on child health in high-mortality populations

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L Lee, MR Rosenzweig… - Journal of Econometrics, 1997 - Elsevier
A framework is set out for estimating the effects of interventions on child health that
considers changes in the allocation of family resources, who among children survive
(survival selectivity), and changes in the health of surviving children net of family ...
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Returns to college education: An investigation of self-selection bias based on the project talent data

LW Kenny, LF Lee, GS Maddala… - International Economic Review, 1979 - JSTOR
There have been several studies estimating the returns to college education and a lot of
discussion about whether college matters. Many of these studies are discussed in Solmon
and Taubman [1973], and Taubmani and Wales [1974]. However, in all these studies the ...
Cited by 104 - Related articles - Get it from MIT Libraries - All 4 versions

GMM and 2SLS estimation of mixed regressive, spatial autoregressive models

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L Lee - Journal of Econometrics, 2007 - Elsevier
The GMM method and the classical 2SLS method are considered for the estimation of mixed
regressive, spatial autoregressive models. These methods have computational advantage
over the conventional maximum likelihood method. The proposed GMM estimators are ...
Cited by 107 - Related articles - All 10 versions

Serial correlation in latent discrete variable models

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SR Cosslett… - Journal of Econometrics, 1985 - Elsevier
Abstract We consider the problems of estimation and testing in models with serially
correlated discrete latent variables. A particular case of this is the time series regression
model in which a discrete explanatory variable is measured with error. Test statistics are ...
Cited by 95 - Related articles - All 6 versions

Identification and estimation of econometric models with group interactions, contextual factors and fixed effects

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L Lee - Journal of Econometrics, 2007 - Elsevier
This paper considers identification and estimation of structural interaction effects in a social
interaction model. The model allows unobservables in the group structure, which may be
correlated with included regressors. We show that both the endogenous and exogenous ...
Cited by 102 - Related articles - All 14 versions

Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large

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J Yu, R De Jong… - Journal of Econometrics, 2008 - Elsevier
This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for
spatial dynamic panel data with fixed effects, when both the number of individuals n and the
number of time periods T are large. We consider the case where T is asymptotically large ...
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Specification test for Poisson regression models

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LF Lee - International Economic Review, 1986 - JSTOR
For the analysis of counted data, Poisson distribution has played an important role.
Recently, the model has been extended and formulated into regression framework in
Hausman, et al [1981] and Hall, et al [1983]. Many applications to economic problems ...
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Asymptotic bias in simulated maximum likelihood estimation of discrete choice models

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LF Lee - Econometric Theory, 1995 - Cambridge Univ Press
In this article, we investigate a bias in an asymptotic expansion of the simulated maximum
likelihood estimator introduced by Lerman and Manski (pp. 305-319 in C. Manski and D.
McFadden (eds.), Structural Analysis of Discrete Data with Econometric Applications, ...
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The common structure of tests for selectivity bias, serial correlation, heteroscedasticity and non-normality in the Tobit model

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LF Lee… - International Economic Review, 1985 - JSTOR
Tobin [1958] showed that when the dependent variable in a regression equation has a
lower, or upper limit and takes on the limiting value for a substantial number of sample
observations, conventional multiple regression analysis is not an appropriate technique to ...
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Microeconometric models of rationing, imperfect markets, and non-negativity constraints

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LF Lee… - Journal of Econometrics, 1987 - Elsevier
Abstract This paper provides a theoretically consistent approach to estimating demand
relationships in which kink points occur either in the interior or on the vertices of the budget
set. There are important classes of problems in developing countries which demonstrate ...
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Simulated maximum likelihood estimation of dynamic discrete choice statistical models some Monte Carlo results

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LF Lee - Journal of Econometrics, 1997 - Elsevier
This article reports Monte Carlo results on the simulated maximum likelihood estimation of
discrete dynamic panel models introduced by James Heckman (1981a). The simulated
maximum likelihood method is numerically stable even for long panels. Regression ...
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Estimation of spatial autoregressive panel data models with fixed effects

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L Lee… - Journal of Econometrics, 2010 - Elsevier
This paper establishes asymptotic properties of quasi-maximum likelihood estimators for
SAR panel data models with fixed effects and SAR disturbances. A direct approach is to
estimate all the parameters including the fixed effects. Because of the incidental ...
Cited by 65 - Related articles - All 7 versions

[PDF] Amemiya's generalized least squares and tests of overidentification in simultaneous equation models with qualitative or limited dependent variables

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LF Lee - Econometric Reviews, 1992 - econ.umn.edu
ABSTRACT Amemiya's generalized least squares method for the estimation of simultaneous
equation models with qualitative or limited dependent variables is known to be efficient
relative to many popular two-stage estimators. This note points out that test statistics for ...
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Tests for the bivariate normal distribution in econometric models with selectivity

LF Lee - Econometrica: Journal of the Econometric Society, 1984 - JSTOR
The model considered is a two-equations model consisting of a binary choice equation and
a regression equation. Tests for the bivariate normal distribution are derived for the
truncated samples case and the censored samples case. The tests are Lagrangean ...
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A test for distributional assumptions for the stochastic frontier functions

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LF Lee - Journal of Econometrics, 1983 - Elsevier
Abstract Some asymptotic tests for testing distributional assumptions, namely, the half-
normal and truncated normal distributions for the stochastic frontier functions have been
proposed. The tests are Lagrangean multiplier tests based on the Pearson family of ...
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Semiparametric maximum likelihood estimation of polychotomous and sequential choice models

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LF Lee - Journal of Econometrics, 1995 - Elsevier
This article considers semiparametric estimation of discrete choice models. The estimation
method is a semiparametric maximum likelihood method which generalizes Klein and
Spady (1993) to the estimation of polychotomous choice and sequential choice models. ...
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Specification testing when score test statistics are identically zero

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LF Lee… - Journal of Econometrics, 1986 - Elsevier
Abstract We investigate the problem of specification testing when the score vector evaluated
at the restricted MLE is identically zero. Several econometric examples are provided. A
general test procedure which generalizes the geometric principle of the score test is ...
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Specification error in multinomial logit models:: Analysis of the omitted variable bias

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LF Lee - Journal of Econometrics, 1982 - Elsevier
Abstract In this article, we analyze the omitted variable bias problem in the multinomial
logistic probability model. Sufficient, as well as necessary, conditions under which the
omitted variable will not create asymptotically biased coefficient estimates for the included ...
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A spatial dynamic panel data model with both time and individual fixed effects

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L Lee… - Econometric Theory, 2010 - Cambridge Univ Press
Abstract This paper establishes asymptotic properties of quasi-maximum likelihood
estimators for spatial dynamic panel data with both time and individual fixed effects when the
number of individuals n and the number of time periods T can be large. We propose a ...
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Estimation of dynamic and ARCH Tobit models

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LF Lee - Journal of Econometrics, 1999 - Elsevier
This article considers the estimation of dynamic Tobit models and Tobit models with ARCH
or GARCH disturbances in the time series context. Due to censoring, some disturbances
cannot be observed. The simulated maximum likelihood method is feasible for the ...
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On estimating stochastic frontier production functions and average efficiency: an empirical analysis with Columbian micro data

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WG Tyler… - The Review of Economics and Statistics, 1979 - JSTOR
In recent discussions of technical efficiency, attention has turned to the measurement of"
frontier" or"'efficient" production functions (Farrell, 1957; Aigner and Chu, 1968; Afriat, 1972;
Richmond, 1975). Focusing on the nature of disturbances, one promising approach is that ...
Cited by 37 - Related articles - All 5 versions

Asymptotic distribution of the maximum likelihood estimator for a stochastic frontier function model with a singular information matrix

LF Lee - Econometric Theory, 1993 - JSTOR
This paper investigates the asymptotic distribution of the maximum likelihood estimator in a
stochastic frontier function when the firms are all technically efficient. For such a situation the
true parameter vector is on the boundary of the parameter space, and the scores are ...
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Semiparametric estimation of nonlinear errors-in-variables models with validation study

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JH Sepanski… - Journaltitle of Nonparametric Statistics, 1995 - Taylor & Francis
Consider the nonlinear regression model Y= g (X, βo)+ e where the explanatory variable X
or the response Y is erroneously measured. Specifically, let denote the imperfect variables
for X and Y respectively. When only X, when only Y, and when both X and Y are measured ...
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Semiparametric two-stage estimation of sample selection models subject to tobit-type selection rules

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LF Lee - Journal of Econometrics, 1994 - Elsevier
Abstract A semiparametric two-stage estimation method is proposed for the estimation of
sample selection models which are subject to Tobit-type selection rules. With randomization
restrictions on the disturbances of the model, all the regression coefficients in the model ...
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[PDF] Simulated maximum likelihood estimation of the linear expenditure system with binding non-negativity constraints

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C Kao, LF Lee… - Annals of Economics and Finance, 2001 - Citeseer
In examining consumer demand behavior, household or individual microeconomic data offer
detailed information for empirical analysis. Important indicators of behavior and
heterogeneous preferences associated with the age, sex, or level of education of ...
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Simulation estimation of dynamic switching regression and dynamic disequilibrium models—some Monte Carlo results

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LF Lee - Journal of econometrics, 1997 - Elsevier
This article considers the estimation of dynamic exogenous switching regression models
and dynamic endogenous switching models. With autocorrelation in disturbances or latent
lagged-dependent variables, likelihood functions of such models involve high- ...
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Discrete/continuous models of consumer demand with binding nonnegativity constraints

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J Chiang… - Journal of Econometrics, 1992 - Elsevier
Abstract Consumers in this model are assumed to maximize utility with respect to two goods,
one of which is available in several alternative forms. Decision rules of consumers are
derived for two cases concerning this good:(a) either the individual chooses one of the ...
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GMM estimation of spatial autoregressive models with unknown heteroskedasticity

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X Lin… - Journal of Econometrics, 2010 - Elsevier
In the presence of heteroskedastic disturbances, the MLE for the SAR models without taking
into account the heteroskedasticity is generally inconsistent. The 2SLS estimates can have
large variances and biases for cases where regressors do not have strong effects. In ...
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Self‐selection

LF Lee - A Companion to Theoretical Econometrics, 2000 - Wiley Online Library
This paper provides some account on econometric models and analysis of sample selection
problems. The paper is divided into three parts. The first part considers possible selection-
bias issues in econometric data. Selection biases can occur as the observed outcomes ...
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The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models

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L Lee - Journal of Econometrics, 2007 - Elsevier
This paper proposes a computationally simple GMM for the estimation of mixed regressive
spatial autoregressive models. The proposed method explores the advantage of the method
of elimination and substitution in linear algebra. The modified GMM approach reduces the ...
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Estimation of unit root spatial dynamic panel data models

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J Yu… - Econometric Theory, 2010 - Cambridge Univ Press
Spatial econometrics deals with the spatial interactions of economic units in physical or
economic characteristic spaces. Panel data are of great interest, as dynamic structures in the
time dimension can also be incorporated into the model. 1 Yu, de Jong, and Lee (2008) ...
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Some recent developments in spatial panel data models

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L Lee… - Regional Science and Urban Economics, 2010 - Elsevier
Spatial econometrics has been an ongoing research field. Recently, it has been extended to
panel data settings. Spatial panel data models can allow cross sectional dependence as
well as state dependence, and can also enable researchers to control for unknown ...
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6 Multivariate tobit models in econometrics

LF Lee - Handbook of Statistics, 1993 - Elsevier
... 6 Multivariate tobit models in econometrics. Lung-Fei Lee. Available online 13 March
2005. Excerpt. Note: This is a one-page preview only. Click here to download preview.
Enable JavaScript for PDF Excerpt to view it inline. LOADING... ...
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Semiparametric instrumental variable estimation of simultaneous equation sample selection models

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LF Lee - Journal of Econometrics, 1994 - Elsevier
Abstract The identification and estimation of a semiparametric simultaneous equation model
with selectivity have been considered. The identification of structural parameters from
reduced form parameters in the semiparametric model requires stronger conditions than ...
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Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances

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L Lee… - Econometric Theory, 2010 - Cambridge Univ Press
In this paper, we extend the GMM framework for the estimation of the mixedregressive
spatial autoregressive model by Lee (2007a) to estimate a high order mixed-regressive
spatial autoregressive model with spatial autoregressive disturbances. Identification of ...
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[PDF] Generalized method of moments estimation of spatial autoregressive processes

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L Lee - Manuscript, Department of Economics, OSU, 2001 - economics.sbs.ohio-state.edu
Abstract The GMM is considered for the estimation of spatial autoregressive processes. This
method has comM putational advantage over the conventional quasiMmaximum likelihood
method. The GMM estimators are shown to be consistent and asymptotically normal. ...
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[PDF] Fully recursive probability models and multivariate log-linear probability models for the analysis of qualitative data

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LF Lee - Journal of Econometrics, 1981 - conservancy.umn.edu
Econometricans have developed multiple equation models to analyze multivariate
continuous endogenous variables (see, eg Theil [1971]). Seemingly unrelated regressions
models, recursive models and simultaneous equations models are valuable tools for ...
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Statistical inference with simulated likelihood functions

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L Lee - Econometric Theory, 1999 - Cambridge Univ Press
Abstract This paper considers classical test statistics, namely, the likelihood ratio, efficient
score, and Wald statistics, for econometric models under simulation estimation. The
simulated likelihood ratio, simulated efficient score, and simulated Wald test statistics are ...
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A numerically stable quadrature procedure for the one-factor random-component discrete choice model

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L Lee - Journal of econometrics, 2000 - Elsevier
The Gaussian quadrature formula had been popularized by Butler and Moffitt (1982
Econometrika 50, 761–764) for the estimation of the error component probit panel model.
Borjas and Sueyoshi (1994, Journal of Econometrics 64, 164–182) pointed out some ...
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[CITATION] Asymptotic distributions of quasi-maximum likelihood estimators for spatial econometric models I: Spatial autoregressive processes

LF Lee - Website Ohio State University, Ohio, 2001
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Near unit root in spatial autoregressive model

L Lee… - 2007 - Citeseer
Abstract This paper studies the spatial autoregressive (SAR) model for cross sectional data
when the true spatial e¤ ect parameter is near unity. We decompose the data generating
process (DGP) into an unstable component and a stable component and then establish ...
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The computation of opportunity costs in polychotomous choice models with selectivity

LF Lee - The Review of Economics and Statistics, 1995 - JSTOR
This article provides general formulas for the computation of opportunity costs (or forgone
earnings) of unchosen alternatives in sample selection models with polychotomous choices.
With observed choice probabilities and outcomes of alternatives chosen by some ...
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Semiparametic Nonlinear Least-Squares Estimation of Truncated Regression Models

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LF Lee - Econometric Theory, 1992 - Cambridge Univ Press
Abstract This article provides a semiparametric method for the estimation of truncated
regression models where the disturbances are independent of the regressors before
truncation. This independence property provides useful information on model ...
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The specification of multi-market disequilibrium econometric models

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LF Lee - Journal of Econometrics, 1986 - Elsevier
Abstract The specifications of multi-market disequilibrium econometric models are clouded
with different notions of effective demand. This paper points out that the specification of such
models for econometric analysis can be achieved from the basic concept of fixed-price ...
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Efficient semiparametric scoring estimation of sample selection models

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S Chen… - Econometric Theory, 1998 - Cambridge Univ Press
A semiparametric likelihood method is proposed for the estimation of sample selection
models+ The method is a two-step semiparametric scoring estimation procedure based on
an index restriction and kernel estimation+ Under some regularity conditions, the ...
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The likelihood function and a test for serial correlation in a disequilibrium market model

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LF Lee - Economics Letters, 1984 - Elsevier
Abstract The likelihood function for an econometric disequilibrium market model of Fair and
Jaffee with autocorrelated disturbances is derived. A statistic is introduced for the test of
serial correlation in such a model. The statistic can be regarded as generalization of the ...
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[BOOK] Efficient estimation of dynamic error components models with panel data

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LF Lee - 1979 - conservancy.umn.edu
In Balestra and Nerlove [1966], error components models are introduced as useful models
for pooling cross sections of time series data. Error components regression models have
subsequently been analyzed in Wallace and Hussain [1969], Maddala [1971], Nerlove [ ...
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On the first and second moments of the truncated multi-normal distribution and a simple estimator

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LF Lee - Economics Letters, 1979 - Elsevier
Abstract The relations between the first two moments of multivariate normal random
variables with some components truncated are found. Simple instrumental variable
estimators are available. The analysis extends results of Amemiya, and Sickles and ...
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[CITATION] Sequential Selection Rules and Selectivity in Discrete Choice Econometric Models

LF Lee… - Maddala. GS eds. Econometric Methods and …, 1994
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Specification and estimation of social interaction models with network structures

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L Lee, X Liu… - The Econometrics Journal, 2010 - Wiley Online Library
Summary This paper considers the specification and estimation of social interaction models
with network structures and the presence of endogenous, contextual and correlated effects.
With macro group settings, group-specific fixed effects are also incorporated in the model. ...
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Rational expectations in limited dependent variable models

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LF Lee - Economics Letters, 1994 - Elsevier
Abstract The appropriate characterizations of rational expectations solutions in one-limit and
two-limit models are derived. We prove the existence and uniqueness of the rational
expectations solution for each model. Our analysis is general without imposing serial ...
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Regime classifications in the disequilibrium market models

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LF Lee - Economics Letters, 1984 - Elsevier
Abstract The classification of sample observations to periods of excess demand and excess
supply is in the domain of discriminant analysis. The classification rule suggested by Kiefer
(1980) and Gersovitz (1980) is shown to be optimal in the sense that it minimizes the total ...
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[CITATION] Asymptotic distributions of quasi# maximum likelihood estimators for spatial econometric models II: mixed regressive, spatial autoregressive models

LF Lee - Manuscript, Department of Economics, The Ohio State …, 2001
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On maximum likelihood estimation of stochastic frontier production models

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LF Lee - Journal of econometrics, 1983 - Elsevier
Abstract The iterative algorithm suggested by Greene (1982) for the estimation of stochastic
frontier production models does not necessarily solve the likelihood equations. Corrected
iterative algorithms which generalize Fair's method (1977) and solve the likelihood ...
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The theorems of Debreu and Peleg for ordered topological spaces

LF Lee - Econometrica: Journal of the Econometric Society, 1972 - JSTOR
In a given set X, a binary relation R is called an order of that set if it is reflexive and transitive,
a strict order if it is irreflexive and transitive, and an equivalence relation if it is reflexive,
transitive, and symmetric. A binary relation R on a set X is called complete if for all x, y EX, ...
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Non-parametric testing of discrete panel data models

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LF Lee - Journal of econometrics, 1987 - Elsevier
Abstract The stochastic structures of the homogeneous multinomial process, the
heterogeneous multinomial process, the Markov chain and the heterogeneous Markov chain
are analyzed within a discrete panel data framework. A general theoretical and ...
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Binary choice under social interactions: an empirical study with and without subjective data on expectations

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J Li… - Journal of Applied Econometrics, 2009 - Wiley Online Library
This paper examines two methods of modeling binary choice with social interactions:
models assuming homogeneous rational expectations and models using subjective data on
expectations. Exploiting a unique survey conducted during the 1996 US presidential ...
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GMM estimation of social interaction models with centrality

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X Liu… - Journal of Econometrics, 2010 - Elsevier
This paper considers the specification and estimation of social interaction models with
network structures and the presence of endogenous, contextual, correlated, and group fixed
effects. When the network structure in a group is captured by a graph in which the degrees ...
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[CITATION] Hospital Employees' Wages and Labor Union Organization

RD Feldman, LF Lee, R Hoffbeck… - 1980 - National Center for Health Services …
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An efficient GMM estimator of spatial autoregressive models

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X Liu, L Lee… - Journal of Econometrics, 2010 - Elsevier
In this paper, we consider GMM estimation of the regression and MRSAR models with SAR
disturbances. We derive the best GMM estimator within the class of GMM estimators based
on linear and quadratic moment conditions. The best GMM estimator has the merit of ...
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[PDF] Pooling estimates with different rates of convergence–a minimum χ 2 approach: with an emphasis on a social interactions model

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L Lee - Manuscript, Department of Economics, OSU, 2004 - econ.ohio-state.edu
Abstract This paper considers the extension of the classical minimum distance approach for
the pooling of estimates with various rates of convergence. Under a setting where relative
high rates of convergence can be attained, the minimum distance estimators are shown to ...
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[CITATION] Instrumental Variable Estimation of Simultaneous Equation Systems with Selectivity

L Lee, GS Maddala… - Econometrica, 1977
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Improved efficient quasi maximum likelihood estimator of spatial autoregressive models

X Liu, L Lee… - 2006 - Citeseer
Abstract In this paper, we consider the GMM estimation of the regression model with SAR
disturbances and the MRSAR model. We derive the best GMM estimators within the class of
GMM estimators based on linear and quadratic moment conditions. The BGMME ...
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[PDF] Convergence: A spatial dynamic panel data approach

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J Yu… - Submitted to Global Journal of Economics, in July, 2009 - Citeseer
Abstract A spatial dynamic panel data approach is adopted to study regional growth
convergence in the US economy. In the neoclassical growth model, regions and countries
are assumed to be independent from each other, which may not be valid in the real world. ...
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Spatial nonstationarity and spurious regression: The case with a row-normalized spatial weights matrix

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L Lee… - Spatial Economic Analysis, 2009 - Taylor & Francis
Abstract This paper investigates the spurious regression in the spatial setting where the
regressant and regressors may be generated from possible nonstationary spatial
autoregressive processes. Under the near unit root specification with a row-normalized ...
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Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers

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W Zhang… - The Econometrics Journal, 2004 - Wiley Online Library
Summary With long time series for dynamic discrete choice panel models, the Geweke–
Hajivassiliou–Keane sampler has been observed to have large biases and root-mean-
square errors. The Richard–Zhang accelerated importance sampler is extended for the ...
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[CITATION] Maximum likelihood estimation and a specification test for non-normal distributional assumption for the accelerated failure time models

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LF Lee - Journal of Econometrics, 1984 - econpapers.repec.org
... Please update your bookmarks. Maximum likelihood estimation and a specification test for
non-normal distributional assumption for the accelerated failure time models. Lung-Fei Lee ().
Journal of Econometrics, 1984, vol. 24, issue 1-2, pages 159-179. ...
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[CITATION] Estimation of autocorrelated error components model with panel data

LF Lee - University of Minnesota, 1979
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A smooth likelihood simulator for dynamic disequilibrium models

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LF Lee - Journal of econometrics, 1997 - Elsevier
This article considers the simulation of likelihood functions for dynamic disequilibrium
models without sample separation information. A recursive simulation algorithm is proposed.
The recursive simulation algorithm is computationally tractable for a class of dynamic ...
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[CITATION] X. Lin (2010),“Specification and estimation of social interaction models with network structures,”

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LF Lee… - Econometrics Journal
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[PDF] Estimation of a Modal Choice Model for the Work Journey With Incomplete Observations

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LF Lee - Mimeographed. Dept. of Economics, University of …, 1977 - econ.umn.edu
-2-and socioeconomics status of travelers were used as exogeneous variables in modal
choices. However, it is possible that costs and times for different modes and modal choice
decisions may be simultaneously determined. If there are some omitted factors such as ...
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[PDF] Identification and Estimation in Binary Choice Models with Limited Dependent Variables

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LF Lee - Department of Economics, University of Minnesota, 1977 - conservancy.umn.edu
In handling the statistical problems of choices among finite discrete outcomes, many models
have been suggested and-studied. Among these, the most well known are the linear
probability model, Probit analysis (6] and Logit analysis (3]. In these models, probability ...
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Microeconometric Models of Consumer and Producer Demand with Limited Dependent Variables

LF Lee… - Bulletins, 1984 - ideas.repec.org
The specification and estimation of models of consumer and producer demand with kink
points are considered. The presence of kink points divides the demand or production
schedule into different regimes. Our approach utilizes the concept of virtual prices. The ...
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[PDF] SEf. lIPARAMETRIC MAXIMUM PROFILE LIKELIHOOD ESTIMATION OF POLYTOMOUS AND SEQUENTIAL CHIOCE MODELS

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LF Lee - 1989 - conservancy.umn.edu
Abstract This article considers semiparametric estimation of discrete choice models. The
estimation methods are some semiparametric maximum profile likelihood methods which
generalize Klein and Spady [19S7] to the estimation of polytomous choice and sequential ...
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[CITATION] Test for normality in the econometric disequilibrium markets model

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LF Lee - Journal of Econometrics, 1982 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Test
for normality in the econometric disequilibrium markets model. Lung-Fei Lee (). Journal of
Econometrics, 1982, vol. 19, issue 1, pages 109-123. Date: 1982 Track citations by RSS feed. ...
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[PDF] Efficient semiparametric scoring estimation of sample selection models

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LF Lee - Working Papers, 1990 - conservancy.umn.edu
ABSTRACT A semi parametric profil~ likelihood method is proposed for estimation of
sample selection models. The method is a two step scoring semi parametric estimation
procedure based on index formulation and kernel density estimation. Under some ...
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On comparisons of normal and logistic models in the bivariate dichotomous analysis

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LF Lee - Economics Letters, 1979 - Elsevier
Abstract In discriminating between normal and logistic models in the analysis of bivariate
dichotomous dependent variables, Cox-type statistics have been proposed; however we
point out that there are cases in which the two models are either statistically equivalent or ...
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[BOOK] Multivariate regression and simultaneous equations models with some dependent variables truncated

[PDF] from umn.edu
LF Lee… - 1976 - conservancy.umn.edu
Research financed by NSF Grant SOC-76- 04356 to the University of Florida. I would like to thank
Professor GS Madda1a for helpful comments. Thanks also to R. Litterman for correcting my
English. ... MULTIVATIATE REGRESSION AND SIMULTANEOUS EQUATION MODELS ...
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[PDF] Criminal networks: Who is the key player?

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X Liu, E Patacchini, Y Zenou… - Research Papers in …, 2011 - spot.colorado.edu
We analyze delinquent networks of adolescents in the United States. We develop a dynamic
network formation model showing who the key player is, ie the criminal who once removed
generates the highest possible reduction in aggregate crime level. We then structurally ...
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[BOOK] A Specification Test for Normality Assumption for the Truncated and Censored Tobit Models

[PDF] from umn.edu
LF Lee - 1981 - econ.umn.edu
Abstract Some specification tests for the normality assumption for the truncated and
censored Tobit models are derived. The tests are Lagrangean multiplier tests based on the
Pearson family of distributions. For the truncated case, the test compares the estimated ...
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Interpolation, quadrature, and stochastic integration

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L Lee - Econometric theory, 2001 - Cambridge Univ Press
This paper considers features in numerical and stochastic integration approaches for the
evaluation of analytically intractable integrals+ It provides a unification of these two
approaches+ Some important features in quadrature formulations, namely, interpolation ...
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