Ayuda
Ir al contenido

Dialnet


Estimation of multivariate probit models via bivariate probit

  • Autores: John Mullahy
  • Localización: The Stata journal, ISSN 1536-867X, Vol. 16, Nº. 1, 2016, págs. 37-51
  • Idioma: inglés
  • Texto completo no disponible (Saber más ...)
  • Resumen
    • In this article, I suggest the utility of fitting multivariate probit models using a chain of bivariate probit estimators. This approach is based on Stata's biprobit and suest commands and is driven by a Mata function, bvpmvp(). I discuss two potential advantages of the approach over the mvprobit command (Cappellari and Jenkins, 2003, Stata Journal 3: 278–294): significant reductions in computation time and essentially unlimited dimensionality of the outcome set. Computation time is reduced because the approach does not rely on simulation methods; unlimited dimensionality arises because only pairs of outcomes are considered at each estimation stage. This approach provides a consistent estimator of all the multivariate probit model's parameters under the same assumptions required for consistent estimation via mvprobit, and simulation exercises I provide suggest no loss of estimator precision relative to mvprobit.


Fundación Dialnet

Dialnet Plus

  • Más información sobre Dialnet Plus

Opciones de compartir

Opciones de entorno