Estimation of simultaneous-equation, limited dependent variable models is considered. The minimum Chi-squared method is used to compare the asymptotic relative efficiency of marginal and new conditional maximum likelihood estimators for this class of models. Efficient minimum Chi-squared...

A method is presented for generating test statistics that share the same first order asymptotic optimality properties of the classical statistics. Generalizing J. Neyman's work (1959), t he linearized classical statistic tests restrictions in implicit func tion form using a parameter estimator...