The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification

Li Chuhui; Poskitt D. S.; Zhao Xueyan

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The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification

机译：Bifariate概率模型，最大似然估计，伪真实参数和部分识别

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This paper examines the notion of "identification by functional form" for two equation triangular systems for binary endogenous variables by providing a bridge between the literature on the recursive bivariate probit model and that on partial identification. We evaluate the impact of functional form on the performance of (quasi) maximum likelihood estimators, and investigate the practical importance of available instruments in both cases of correct and incorrect distributional specification. Finally, we calculate average treatment effect bounds and demonstrate how properties of the estimators are explicable via a link between the notion of pseudo-true parameters and the concepts of partial identification. (C) 2018 Elsevier B.V. All rights reserved.

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来源
《Journal of Econometrics》 |2019年第1期|共20页
作者
Li Chuhui; Poskitt D. S.; Zhao Xueyan;
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作者单位

Monash Univ Dept Econometr &

Business Stat Clayton Vic 3800 Australia;

Monash Univ Dept Econometr &

Business Stat Clayton Vic 3800 Australia;

Monash Univ Dept Econometr &

Business Stat Clayton Vic 3800 Australia;

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原文格式 PDF
正文语种 eng
中图分类经济;
关键词
Average treatment effect; Binary outcome models; Copula; Identified set; Instrumental variables; Misspecification;

机译：平均治疗效果;二元成果模型;Copula;确定的集合;仪器变量;拼盘;

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1. The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification [J] . Li Chuhui, Poskitt D. S., Zhao Xueyan Journal of Econometrics . 2019,第1期

机译：Bifariate概率模型，最大似然估计，伪真实参数和部分识别
2. Global maximum likelihood estimation procedure for multinomial probit (MNP) model parameters [J] . Yu-Hsin Liu, Hani S. Mahmassani Transportation Research Part B: Methodological . 2000,第5期

机译：多项式Probit（MNP）模型参数的全局最大似然估计程序
3. ON MAXIMUM LIKELIHOOD AND PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION IN COMPOUND INSURANCE MODELS WITH DEDUCTIBLES [J] . JOSTEIN PAULSEN, Knut Stubφ Astin bulletin . 2011,第1期

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4. Spatially non-homogeneous potts model parameter estimation on higher-order neighborhood systems by maximum pseudo-likelihood [C] . Alexandre L. M. Levada, Nelson D. A. Mascarenhas, Alberto Tannus, ACM symposium on Applied computing . 2008

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8. Maximum Likelihood Estimation of the Parameters of a Bivariate Gaussian–Weibull Distribution from Machine Stress-Rated Data. [R] . Verrill, S. P., Kretschmann, D. E., Evans, J. W. 2016

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The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification

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