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Censored Probit Estimation with Correlation near the Boundary: A Useful Reparameteriztion AgEcon
Terza, Joseph V.; Tsai, Wei-Der.
The conventional computational algorithms for full information maximum likelihood (FIML) estimation of the censored probit model (see Farber, 1983), will sometimes fail to converge when the estimated value of the correlation coefficient (ñ) approaches ±1; even when the true value of ñ is not at a boundary. We show that a simple reparametrization of the censored probit model may afford straightforward Newton-Raphson convergence to the true FIML estimate for cases in which likelihood maximization under the conventional censored probit parameterization would have failed. Moreover, our method avoids the computational and inferential complications that arise in alternative methods that, based on a specified criterion, suggest fixing the estimated value of ñ at...
Tipo: Journal Article Palavras-chave: Sample selection; Endogenous treatment effects; Endogenous switching; Qualitative dependent variables; Informal elderly care; Research Methods/ Statistical Methods; I12; C24; C63.
Ano: 2006 URL: http://purl.umn.edu/50278
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