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A note on the different interpretation of the correlation parameters in the Bivariate Probit and the Recursive Bivariate Probit
(2017)Economics Working Paper SeriesThis 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 ...Working Paper