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Estimating the Correlation in Censored Probit Models

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  • Butler, J S

Abstract

The estimation of censored probit models can result in an estimated correlation between the disturbances approaching [plus]1.0 or -1.0 when most of the observations are selected into the sample and the outcomes are unequally distributed. Outcomes of 0 can induce an estimated correlation of -1.0, and outcomes of 1 can induce an estimated correlation of [plus]1.0. This paper analyzes the population problem, derives corresponding sample conditions, proposes a solution to the problem, and offers a computer program. Copyright 1996 by MIT Press.

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  • Butler, J S, 1996. "Estimating the Correlation in Censored Probit Models," The Review of Economics and Statistics, MIT Press, vol. 78(2), pages 356-358, May.
    • Handle: RePEc:tpr:restat:v:78:y:1996:i:2:p:356-58
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    Cited by:

    1. Butler, J. S., 1997. "Censored probit models do not fail randomly: A Monte Carlo study," Economics Letters, Elsevier, vol. 57(1), pages 33-37, November.
    2. Belkar, R. & Fiebig, D.G., 2008. "A Monte Carlo comparison of estimators for a bivariate probit model with selection," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 250-256.
    3. Jorge González Chapela, 2022. "A Binary Choice Model with Sample Selection and Covariate-Related Misclassification," Econometrics, MDPI, vol. 10(2), pages 1-20, March.
    4. Kensuke Kubo, 2011. "Explaining vertical integration in the generic pharmaceutical industry," Discussion Papers 11-02, Indian Statistical Institute, Delhi.
    5. Mark B. Stewart, 2002. "The Inter-related Dynamics of Unemployment and Low Pay," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B2-4, International Conferences on Panel Data.
    6. Giampiero Marra & Rosalba Radice & Till Bärnighausen & Simon N. Wood & Mark E. McGovern, 2017. "A Simultaneous Equation Approach to Estimating HIV Prevalence With Nonignorable Missing Responses," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 484-496, April.

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