Some notes on statistic robustness of nonparametric bivariate probit model in a finite sample

Takaaki Aoki

Applied Economics Letters, 2009, vol. 16, issue 5, 443-447

Abstract: This article describes qualitatively some interesting statistic aspects of the nonparametric bivariate Probit model, which was examined in Aoki (2005) as a nonparametrically modified version of the estimator to test asymmetric information, originally proposed in Chiappori and Salanie (2000). My computation results and analysis show that even in a finite sample case the nonparametric version is very robust to the variable bandwidth, which is relatively smaller than the optimal bandwidth policy. This statistic characteristics enables the proposed nonparametric estimator to be put widely and conveniently into practical use, without applied researcher's necessity to pay too much attention to the precise value of optimal bandwidth.

Date: 2009
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DOI: 10.1080/13504850601032115

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