Copula-based bivariate binary response models

Arbeitspapier

The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor on a binary outcome variable. This paper discusses simple modifications that maintain the probit assumption for the marginal distributions while introducing non-normal dependence among the two variables using copulas. Simulation results and evidence from two applications, one on the effect of insurance status on ambulatory expenditure and one on the effect of completing high school on subsequent unemployment, show that these modified bivariate probit models work well in practice, and that they provide a viable and simple alternative to the standard bivariate probit approach.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 0913

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Subject: Bivariate probit ; binary endogenous regressor ; Frank copula ; Clayton copula ; Panel ; Probit-Modell ; Kopula (Mathematik) ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Winkelmann, Rainer
• Event: Veröffentlichung
• (who): University of Zurich, Socioeconomic Institute
• (where): Zurich
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/76232
• Last update: 10.03.2025, 11:44 AM CET