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dc.contributor.author
Filippini, Massimo
dc.contributor.author
Greene, William H.
dc.contributor.author
Kumar, Nilkanth
dc.contributor.author
Martinez-Cruz, Adan L.
dc.date.accessioned
2018-04-12T11:31:33Z
dc.date.available
2018-03-28T11:56:40Z
dc.date.available
2018-04-12T11:31:33Z
dc.date.issued
2018-06
dc.identifier.issn
0165-1765
dc.identifier.other
10.1016/j.econlet.2018.03.018
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/253863
dc.identifier.doi
10.3929/ethz-b-000253863
dc.description.abstract
This note shows 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) 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; and ii) 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 an RBP proces.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Elsevier
en_US
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
dc.subject
Bivariate probit
en_US
dc.subject
Tetrachoric correlation
en_US
dc.subject
Recursive Bivariate probit
en_US
dc.subject
Monte Carlo simulation
en_US
dc.title
A note on the different interpretation of the correlation parameters in the Bivariate Probit and the Recursive Bivariate Probit
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution 4.0 International
dc.date.published
2018-03-27
ethz.journal.title
Economics Letters
ethz.journal.volume
167
en_US
ethz.journal.abbreviated
Econ Lett
ethz.pages.start
104
en_US
ethz.pages.end
107
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.code.jel
C3 - Multiple or Simultaneous Equation Models; Multiple Variables::C35 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Amsterdam
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03539 - Filippini, Massimo / Filippini, Massimo
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03539 - Filippini, Massimo / Filippini, Massimo
en_US
ethz.relation.isVariantFormOf
10.3929/ethz-b-000186391
ethz.date.deposited
2018-03-28T11:56:41Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2018-04-12T11:31:40Z
ethz.rosetta.lastUpdated
2023-02-06T15:23:30Z
ethz.rosetta.versionExported
true
ethz.COinS
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