Marginal Effects in Multivariate Probit and Kindred Discrete and Count Outcome Models, with Applications in Health Economics

John Mullahy ()

No 17588, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Estimation of marginal or partial effects of covariates x on various conditional parameters or functionals is often the main target of applied microeconometric analysis. In the specific context of probit models such estimation is straightforward in univariate models, and Greene, 1996, 1998, has extended these results to cover the case of quadrant probability marginal effects in bivariate probit models. The purpose of this paper is to extend these results to the general multivariate probit context for arbitrary orthant probabilities and to demonstrate the applicability of such extensions in contexts of interest in health economics applications. The baseline results are extended to models that condition on subvectors of y, to count data structures that derive from the probability structure of y, to multivariate ordered probit data structures, and to multinomial probit models whose marginal effects turn out to be a special case of those of the multivariate probit model. Simulations reveal that analytical formulae versus fully numerical derivatives result in a reduction in computational time as well as an increase in accuracy.

JEL-codes: C35 I1 (search for similar items in EconPapers)
Date: 2011-11
New Economics Papers: this item is included in nep-ecm
Note: EH TWP
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Citations: View citations in EconPapers (11)

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