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A comparison of different methods for the estimation of regression models with correlated binary responses

Spieß, Martin and Hamerle, Alfred (2000) A comparison of different methods for the estimation of regression models with correlated binary responses. Computational Statistics & Data Analysis 33 (4), pp. 439-455.

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Abstract

In the present paper results of a simulation study designed to evaluate the small sample properties of three different estimators for regression models with correlated binary responses are presented. Throughout, binary panel probit models are considered, where an underlying latent continuous random variable crosses a threshold. The estimation procedures considered are (1) marginal maximum ...

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Item type:Article
Date:June 2000
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1016/S0167-9473(99)00065-1DOI
Keywords:Maximum likelihood; Gauss–Hermite quadrature; Generalized estimating equations; Mean and covariance structure analysis; Binary probit model; Correlated binary responses; Threshold model; Simulation study
Dewey Decimal Classification:300 Social sciences > 330 Economics
300 Social sciences > 310 General statistics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:8369
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