Estimating a generalized correlation coefficient for a generalized bivariate probit model | |
Chen, Songnian; Zhou, Yahong | |
刊名 | JOURNAL OF ECONOMETRICS
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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. |
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