| 来源类型 | Working papers |
| 规范类型 | 论文 |
| DOI | 10.3929/ethz-b-000186391 |
| A note on the different interpretation of the correlation parameters in the Bivariate Probit and the Recursive Bivariate Probit | |
| Filippini, Massimo; Greene, William; Kumar, Nilkanth; Martinez-Cruz, Adan L. | |
| 发表日期 | 2017-09 |
| 出版者 | ETH Zurich, Center of Economic Research (CER-ETH) |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This note makes the point that, if a Bivariate Probit (BP) model is estimated on data arising from a Recursive Bivariate Probit (RBP) process, the resulting BP correlation parameter is a weighted average of the RBP correlation parameter and the parameter associated to the endogenous binary variable. Two corollaries follow this proposition: i) a zero correlation parameter in a BP model, usually interpreted as evidence of independence between the binary variables under study, may actually mask the presence of a RBP process; and ii) the interpretation of the correlation parameter in the RBP is not the same as in the BP -- i.e. the RBP correlation parameter does not necessarily reflect the correlation between the binary variables under study. |
| 主题 | Bivariate probit ; Recursive Bivariate probit ; Tetrachoric correlation ; Monte Carlo simulation |
| URL | https://www.research-collection.ethz.ch/handle/20.500.11850/186391 |
| 来源智库 | Centre for Energy Policy and Economics (Switzerland) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/266779 |
| 推荐引用方式 GB/T 7714 | Filippini, Massimo,Greene, William,Kumar, Nilkanth,et al. A note on the different interpretation of the correlation parameters in the Bivariate Probit and the Recursive Bivariate Probit. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| WP-17-275.pdf（1547KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
| WP-17-275.jpg（3KB） | 智库出版物 | 限制开放 | CC BY-NC-SA |  浏览 | ||
| 文件名： | WP-17-275.jpg |
| 格式： | JPEG |
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