IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpem/9608002.html

Bayesian Analysis of Multivariate Probit Models

Author

Listed:
  • Siddhartha Chib

    (Washington University)

  • Edward Greenberg

    (Washington University)

Abstract

This paper provides a unified simulation-based Bayesian and non-Bayesian analysis of correlated binary data using the multivariate probit model. The posterior distribution is simulated by Markov chain Monte Carlo methods, and maximum likelihood estimates are obtained by a Markov chain Monte Carlo version of the E-M algorithm. Computation of Bayes factors from the simulation output is also considered. The methods are applied to a bivariate data set, to a 534-subject, four-year longitudinal data set from the Six Cities study of the health effects of air pollution, and to a seven-year data set on the labor supply of married women from the Panel Survey of Income Dynamics.

Suggested Citation

  • Siddhartha Chib & Edward Greenberg, 1996. "Bayesian Analysis of Multivariate Probit Models," Econometrics 9608002, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:9608002
    Note: Type of Document - ; to print on PostScript; pages: 24
    as

    Download full text from publisher

    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/9608/9608002.pdf
    Download Restriction: no
    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/9608/9608002.ps.gz
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Avery, Robert B & Hansen, Lars Peter & Hotz, V Joseph, 1983. "Multiperiod Probit Models and Orthogonality Condition Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 21-35, February.
    2. McCulloch, Robert & Rossi, Peter E., 1994. "An exact likelihood analysis of the multinomial probit model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 207-240.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lahiri, Kajal & Gao, Jian, 2002. "Bayesian analysis of nested logit model by Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 111(1), pages 103-133, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Michael Lechner & Stefan Lollivier & Thierry Magnac, 2005. "Parametric Binary Choice Models," University of St. Gallen Department of Economics working paper series 2005 2005-23, Department of Economics, University of St. Gallen.
    2. Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986. "Classical estimation methods for LDV models using simulation," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441, Elsevier.
    3. Laisney, François & Pohlmeier, Winfried & Staat, Matthias, 1991. "Estimation of labour supply functions using panel data: a survey," ZEW Discussion Papers 91-05, ZEW - Leibniz Centre for European Economic Research.
    4. Paleti, Rajesh, 2018. "Generalized multinomial probit Model: Accommodating constrained random parameters," Transportation Research Part B: Methodological, Elsevier, vol. 118(C), pages 248-262.
    5. Rubén Loaiza-Maya & Didier Nibbering, 2023. "Fast Variational Bayes Methods for Multinomial Probit Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1352-1363, October.
    6. Koop, Gary & Poirier, Dale J., 2004. "Bayesian variants of some classical semiparametric regression techniques," Journal of Econometrics, Elsevier, vol. 123(2), pages 259-282, December.
    7. YingHua He & Thierry Magnac, 2022. "Application Costs and Congestion in Matching Markets," The Economic Journal, Royal Economic Society, vol. 132(648), pages 2918-2950.
    8. Stephan Wachtel & Thomas Otter, 2013. "Successive Sample Selection and Its Relevance for Management Decisions," Marketing Science, INFORMS, vol. 32(1), pages 170-185, September.
    9. Jörg Breitung & Michael Lechner, 1996. "Estimation de modèles non linéaires sur données de panel par la méthode des moments généralisés," Économie et Prévision, Programme National Persée, vol. 126(5), pages 191-203.
    10. Min, Chung-ki, 1998. "A Gibbs sampling approach to estimation and prediction of time-varying-parameter models," Computational Statistics & Data Analysis, Elsevier, vol. 27(2), pages 171-194, April.
    11. Chauvet, Marcelle & Potter, Simon, 2002. "Predicting a recession: evidence from the yield curve in the presence of structural breaks," Economics Letters, Elsevier, vol. 77(2), pages 245-253, October.
    12. Ryo Kato & Takahiro Hoshino, 2020. "Semiparametric Bayesian multiple imputation for regression models with missing mixed continuous–discrete covariates," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(3), pages 803-825, June.
    13. Adam Kapor & Mohit Karnani & Christopher Neilson, 2024. "Aftermarket Frictions and the Cost of Off-Platform Options in Centralized Assignment Mechanisms," Journal of Political Economy, University of Chicago Press, vol. 132(7), pages 2346-2395.
    14. Ge, Houtian & Gomez, Miguel I. & Richards, Timothy J., "undated". "Retailer Marketing Strategy and Consumer Purchase Decision for Local Food – An Agent-Based Model," 2018 Annual Meeting, August 5-7, Washington, D.C. 273819, Agricultural and Applied Economics Association.
    15. Andrew Ching & Susumu Imai & Masakazu Ishihara & Neelam Jain, 2012. "A practitioner’s guide to Bayesian estimation of discrete choice dynamic programming models," Quantitative Marketing and Economics (QME), Springer, vol. 10(2), pages 151-196, June.
    16. Siddhartha Chib & Edward Greenberg & Yuxin Chen, 1998. "MCMC Methods for Fitting and Comparing Multinomial Response Models," Econometrics 9802001, University Library of Munich, Germany, revised 06 May 1998.
    17. Patrick Bajari, 2003. "Comment," Quantitative Marketing and Economics (QME), Springer, vol. 1(3), pages 277-283, September.
    18. Susan Athey & Guido W. Imbens, 2007. "Discrete Choice Models With Multiple Unobserved Choice Characteristics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1159-1192, November.
    19. Ackerberg, Daniel A. & DeRemer, David R. & Riordan, Michael H. & Rosston, Gregory L. & Wimmer, Bradley S., 2014. "Estimating the impact of low-income universal service programs," International Journal of Industrial Organization, Elsevier, vol. 37(C), pages 84-98.
    20. He, Yinghua & Magnac, Thierry, 2018. "A Pigouvian Approach to Congestion in Matching Markets," IZA Discussion Papers 11967, IZA Network @ LISER.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:9608002. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA The email address of this maintainer does not seem to be valid anymore. Please ask EconWPA to update the entry or send us the correct address (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.