Arbeitspapier
A note on the different interpretation of the correlation parameters in the Bivariate Probit and the Recursive Bivariate Probit
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Working Paper Series ; No. 17/275
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- Thema
-
Bivariate probit
Recursive Bivariate probit
Tetrachoric correlation
Monte Carlo simulation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Filippini, Massimo
Greene, William
Kumar, Nilkanth
Martinez-Cruz, Adan
- Ereignis
-
Veröffentlichung
- (wer)
-
ETH Zurich, CER-ETH - Center of Economic Research
- (wo)
-
Zurich
- (wann)
-
2017
- DOI
-
doi:10.3929/ethz-b-000186391
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Filippini, Massimo
- Greene, William
- Kumar, Nilkanth
- Martinez-Cruz, Adan
- ETH Zurich, CER-ETH - Center of Economic Research
Entstanden
- 2017
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