Estimating the Correlation in Censored Probit Models.

A-Tier
Journal: Review of Economics and Statistics
Year: 1996
Volume: 78
Issue: 2
Pages: 356-58

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The estimation of censored probit models can result in an estimated correlation between the disturbances approaching [plus]1.0 or -1.0 when most of the observations are selected into the sample and the outcomes are unequally distributed. Outcomes of 0 can induce an estimated correlation of -1.0, and outcomes of 1 can induce an estimated correlation of [plus]1.0. This paper analyzes the population problem, derives corresponding sample conditions, proposes a solution to the problem, and offers a computer program. Copyright 1996 by MIT Press.

Technical Details

RePEc Handle
repec:tpr:restat:v:78:y:1996:i:2:p:356-58
Journal Field
General
Author Count
1
Added to Database
2026-01-25