Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Apr, 1980, Volume 48, Issue 3

Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

https://www.jstor.org/stable/1913130
p. 675-696

A. Monfort, C. Gourieroux, J. J. Laffont

In this paper we consider the problem of the existence of a well-defined reduced form in the context of piecewise linear models. We give a general theorem which provides necessary and sufficient conditions, called coherency conditions, for such an existence. This result is applied to various kinds of models: self-selectivity models, simultaneous equation probit and tobit models, multimarkets disequilibrium models.


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