| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w21593
|
| 来源ID | Working Paper 21593
|
| Estimation of Multivariate Probit Models via Bivariate Probit |
| John Mullahy
|
| 发表日期 | 2015-09-28
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | Models having multivariate probit and related structures arise often in applied health economics. When the outcome dimensions of such models are large, however, estimation can be challenging owing to numerical computation constraints and/or speed. This paper suggests the utility of estimating multivariate probit (MVP) models using a chain of bivariate probit estimators. The proposed approach offers two potential advantages over standard multivariate probit estimation procedures: significant reductions in computation time; and essentially unlimited dimensionality of the outcome set. The time savings arise because the proposed approach does not rely simulation methods; the dimension advantage arises because only pairs of outcomes are considered at each estimation stage. Importantly, the proposed approach provides a consistent estimator of all the MVP model's parameters under the same assumptions required for consistent estimation based on standard methods, and simulation exercises suggest no loss of estimator precision. |
| 主题 | Econometrics
; Estimation Methods
; Health, Education, and Welfare
; Health
|
| URL | https://www.nber.org/papers/w21593
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
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| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579268
|
推荐引用方式
GB/T 7714 |
John Mullahy. Estimation of Multivariate Probit Models via Bivariate Probit. 2015.
|
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