Multivariate ordered discrete response models

Tatiana Komarova and William Matcham

Papers from arXiv.org

Abstract: We introduce multivariate ordered discrete response models with general rectangular structures. From the perspective of behavioral economics, these non-lattice models correspond to broad bracketing in decision making, whereas lattice models, which researchers typically estimate in practice, correspond to narrow bracketing. In these models, we specify latent processes as a sum of an index of covariates and an unobserved error, with unobservables for different latent processes potentially correlated. We provide conditions that are sufficient for identification under the independence of errors and covariates and outline an estimation approach. We present simulations and empirical examples, with a particular focus on probit specifications.

Date: 2022-05, Revised 2023-03
New Economics Papers: this item is included in nep-dcm and nep-ecm
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