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

被引：6

作者：

Kimhi A. ^{[1
]}

机构：

[1] Dept. of Agric. Econ. and Management, Faculty of Agriculture, Hebrew University, P.O. Box 12

来源：

Computational Economics | 1999年 / 13卷 / 1期

关键词：

Efficiency; Multivariate probit; Quasi maximum likelihood; Simulation;

D O I：

10.1023/A:1008649923740

中图分类号：

学科分类号：

摘要：

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.

引用

页码：93 / 101

页数：8

共 8 条

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[3]

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[4]

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