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 language | English |
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Pages (from-to) | 93-101 |
Number of pages | 9 |
Journal | Computational Economics |
Volume | 13 |
Issue number | 1 |
DOIs | |
State | Published - 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