We compare four different estimation methods for the coefficients of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the...

In this paper we provide simulation and theoretical results concerning the finite sample theory of QML estimators in ARCH models when we include an exogenous variable in the conditional variance equation. In this setting, we find theoretical and simulation support to suggest that if we consider...

A Monte Carlo experiment is undertaken to examine the small sample properties of three alternative estimators of a bivariate probit model with selection. The three estimators are the censored probit estimator, single-equation probit applied to the selected sub-sample and single-equation probit...