Efficient Estimation of Ordered Probit Models
作者:
Gerd Ronning,
Martin Kukuk,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1996)
卷期:
Volume 91,
issue 435
页码: 1120-1129
ISSN:0162-1459
年代: 1996
DOI:10.1080/01621459.1996.10476982
出版商: Taylor & Francis Group
关键词: Conditional likelihood;Joint likelihood;Ordinal polytomous variable;Polychoric correlation;Simultaneous probit model;Weak exogeneity
数据来源: Taylor
摘要:
This article discusses a model in which both the dependent variable and the explanatory variables are ordinal and have an arbitrary number of categories. Assuming joint normality of the underlying continuous latent variables, we compare estimation based on the joint distribution to estimation based on the conditional distribution. Because the explanatory variables arenotweakly exogenous in this model, the latter approach implies a loss in efficiency that can be substantial in many cases, as shown in detail for the special case of trichotomous data with symmetric thresholds. Therefore, latent variables underlying the observed ordinal variables should always be considered to be jointly endogenous; that is, the joint distribution should be considered.
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