The paper considers the estimation of credit spreads for government bonds relative to supranational bonds. Two approaches are used for the estimation, namely, the hedonic regression method and the yield curve estimation method. The results reveal that there exists a substantial yield spread...

A limited information estimator for the multivariate ordinal probit model is developed. The main advantage of the estimator is that even for high dimensional models, the estimation procedure requires the evaluation of bivariate normal integrals only. The proposed estimator also avoids the...