On the Tradeoff between Computational Simplicity and Asymptotic Properties in Multivariate Probit

Ayal Kimhi*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

This paper discusses the most efficient estimator among Quasi Maximum Likelihood Estimators using at most two levels of numerical integration, for the multivariate probit model. Simulations show that this estimator is more efficient but not more costly than the second-best alternative. However, its added efficiency depends on the correlation structure.

Original languageAmerican English
Pages (from-to)93-101
Number of pages9
JournalComputational Economics
Volume13
Issue number1
DOIs
StatePublished - 1999

Bibliographical note

Funding Information:
I wish to thank a referee for helpful comments and suggestions. This research was supported by Grant No. IS-1845-90 from BARD, the United States-Israel Binational Agricultural Research and Development Fund.

Keywords

  • Efficiency
  • Multivariate probit
  • Quasi maximum likelihood
  • Simulation

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