On a General Computer Algorithm for the Analysis of Models with Limited Dependent Variables

31 Pages Posted: 19 Jun 2004 Last revised: 10 Sep 2021

See all articles by Forrest D. Nelson

Forrest D. Nelson

University of Iowa - Henry B. Tippie College of Business - Department of Economics

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Date Written: October 1974

Abstract

Several econometric models for the analysis of relationships with limited dependent variables have been proposed, including the probit, Tobit, two-limit probit, ordered discrete, and friction models. Widespread application of these methods has been hampered by the lack of suitable computer programs. This paper provides a concise survey of the various models; suggests a general functional model under which they may be formulated and analyzed; reviews the analytic problems and the similarities and dissimilarities of the models; and outlines the appropriate and necessary methods of analysis including, but not limited to, estimation. It is thus intended to serve as a guide for users of the various models, for the preparation of suitable computer programs, for the users of those programs; and, more specifically, for the users of the program package utilizing the functional model as implemented on the NBER TROLL system.

Suggested Citation

Nelson, Forrest D., On a General Computer Algorithm for the Analysis of Models with Limited Dependent Variables (October 1974). NBER Working Paper No. w0068, Available at SSRN: https://ssrn.com/abstract=259380

Forrest D. Nelson (Contact Author)

University of Iowa - Henry B. Tippie College of Business - Department of Economics ( email )

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