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

Ayal Kimhi

Computational Economics, 1999, vol. 13, issue 1, 93-101

Abstract: 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.

Date: 1999
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