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

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. Citation Copyright 1999 by Kluwer Academic Publishers.

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Year of publication:	1999
Authors:	Kimhi, Ayal
Published in:	Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 13.1999, 1, p. 93-101
Publisher:	Society for Computational Economics - SCE

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005808978