Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097145 | Journal of Econometrics | 2007 | 15 Pages |
Abstract
In this paper we consider semiparametric estimation of a generalized correlation coefficient in a generalized bivariate probit model. The generalized correlation coefficient provides a simple summary statistic measuring the relationship between the two binary decision processes in a general framework. Our semiparametric estimation procedure consists of two steps, combining semiparametric estimators for univariate binary choice models with the method of maximum likelihood for the bivariate probit model with nonparametrically generated regressors. The estimator is shown to be consistent and asymptotically normal. The estimator performs well in our simulation study.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Songnian Chen, Yahong Zhou,