Including Prior Information in Probit Model Estimation
The effects of including different kinds of prior information in estimation of the probit model is examined within the framework of Bayesian inference. Of interest is the effect on posterior information for coefficients, probabilities and elasticities. In a model designed to explain choice between fixed and variable interest-rate mortgages, we show that using Bayesian inference to include inequality information on the signs of coefficients yields inferences about probabilities and elasticities that are substantially different from those obtained using maximum likelihood estimation. In a second model, concerned with state voting behavior, we find that putting prior information on probabilities, rather than coefficients, has a dramatic effect on the posterior density functions for the model coefficients, probabilities and elasticities.
|Date of creation:||2001|
|Contact details of provider:|| Postal: Department of Economics, The University of Melbourne, 4th Floor, FBE Building, Level 4, 111 Barry Street. Victoria, 3010, Australia|
Phone: +61 3 8344 5355
Fax: +61 3 8344 6899
Web page: http://fbe.unimelb.edu.au/economics
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997.
"Statistical inference in the multinomial multiperiod probit model,"
Journal of Econometrics,
Elsevier, vol. 80(1), pages 125-165, September.
- John F. Geweke & Michael P. Keane & David E. Runkle, 1994. "Statistical inference in the multinomial multiperiod probit model," Staff Report 177, Federal Reserve Bank of Minneapolis.
- John F. Geweke & Michael P. Keane & David E. Runkle, 1994.
"Alternative computational approaches to inference in the multinomial probit model,"
170, Federal Reserve Bank of Minneapolis.
- 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.
- Zellner, Arnold & Rossi, Peter E., 1984. "Bayesian analysis of dichotomous quantal response models," Journal of Econometrics, Elsevier, vol. 25(3), pages 365-393, July.
- Kleibergen, F.R. & van Dijk, H.K., 1997.
"Bayesian Simultaneous Equations Analysis using Reduced Rank Structures,"
Econometric Institute Research Papers
EI 9714/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(06), pages 701-743, December.
- Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute.
- Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
When requesting a correction, please mention this item's handle: RePEc:mlb:wpaper:816. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Katherine Perez)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.