Chapter

Applications to Limited Dependent Variable Models

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI: http://dx.doi.org/10.1093/0198774753.003.0005

Series: OUP/CORE Lecture Series

 Applications to Limited Dependent Variable Models

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Presents several applications of the methods presented in the previous chapters to Limited Dependent Variables models. Considers Discrete Choice models, Multivariate Probit Models, Logistic approximations, and empirical applications. Also considers various simulators for probabilities of subsets, constrained moments, or conditional moments in the multivariate normal case. In particular, Stern simulator, GHK simulator, acceptance‐rejection simulator, and Gibbs simulator are presented.

Keywords: Discrete Choice; GHK simulator; Gibbs simulator; Multivariate Probit; Stern simulator

Chapter.  11421 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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