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Computational Issues in the Sequential Probit Model: A Monte Carlo Study

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  • Patrick Waelbroeck

Abstract

We discuss computational issues in the sequential probit model that have limited its use in applied research. We estimate parameters of the model by the method of simulated maximum likelihood (SML) and by Bayesian MCMC algorithms. We provide Monte Carlo evidence on the relative performance of both estimators and find that the SML procedure computes standard errors of the estimated correlation coefficients that are less reliable. Given the numerical difficulties associated with the estimation procedures, we advise the applied researcher to use both the stochastic optimization algorithm in the Simulated Maximum Likelihood approach and the Bayesian MCMC algorithm to check the compatibility of the results. Copyright Springer Science + Business Media, Inc. 2005

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  • Patrick Waelbroeck, 2005. "Computational Issues in the Sequential Probit Model: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 26(2), pages 141-161, October.
    • Handle: RePEc:kap:compec:v:26:y:2005:i:2:p:141-161
    DOI: 10.1007/s10614-005-0667-7
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    References listed on IDEAS

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    1. Geweke, John & Keane, Michael P & Runkle, David, 1994. "Alternative Computational Approaches to Inference in the Multinomial Probit Model," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 609-632, November.
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    Cited by:

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    3. Gebrenegus Ghilagaber & Paraskevi Peristera, 2014. "Sequential probit modelling of family and community effects on educational progress among children to Polish and Turkish immigrants in Sweden," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(6), pages 3243-3252, November.
    4. Raphaële Préget, 2011. "What is the cost of low participation in French Timber auctions?," Post-Print hal-00670762, HAL.

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