Estimating a generalized correlation coefficient for a generalized bivariate probit model

doi:10.1016/j.jeconom.2007.01.012

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	Estimating a generalized correlation coefficient for a generalized bivariate probit model
	Chen, Songnian ; Zhou, Yahong
刊名	JOURNAL OF ECONOMETRICS
	2007-12
卷号	141 期号:2 页码:1100-1114
关键词	bivariate probit generalized correlation coefficient dependence measures
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2007.01.012
英文摘要	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. (c) 2007 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000250871900027
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2580]
专题	上海财经大学
通讯作者	Chen, Songnian
作者单位	1.Hong Kong Univ Sci & Technol, Dept Econ, Hong Kong, Hong Kong, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Chen, Songnian,Zhou, Yahong. Estimating a generalized correlation coefficient for a generalized bivariate probit model[J]. JOURNAL OF ECONOMETRICS,2007,141(2):1100-1114.
APA	Chen, Songnian,&Zhou, Yahong.(2007).Estimating a generalized correlation coefficient for a generalized bivariate probit model.JOURNAL OF ECONOMETRICS,141(2),1100-1114.
MLA	Chen, Songnian,et al."Estimating a generalized correlation coefficient for a generalized bivariate probit model".JOURNAL OF ECONOMETRICS 141.2(2007):1100-1114.