Bayesian Evaluation of a Semi-Parametric Binary Response Model.

In this paper, we develop a Bayesian analysis of a semi-parametric binary choice model. The prior specification of the functional parameter, namely the distribution function of a latent variable, is of the Dirichlet process type and the prior specification of the Euclidean parameter, namely the coefficients of a linear combination of exogenous variables, is left arbitrary. The model identification is ensured by fixing the prior expectation of the functional parameter (see Mouchart et al. (1997)). Several questions are studied through an explanatory numerical analysis, such as the general problem of contrasting semi-parametric and purely parametric specification.