This paper derives the marginal effects for a conditional mean function in a bivariate probit model. A general expression is given for a model which allows for sample selectiviy and heteroscedasticity. The computations are illustrated using microeconomic data from a study on credit scoring.

Misclassification in binary choice (binomial response) models occurs when the dependent variable is measured with error, that is, when an actual "one" response is sometimes recorded as a zero, and vice versa. This paper shows that binary choice models with misclassification are...

This paper shows that many estimators of thresholds in ordered response models exist, because binary choice location estimators can be converted into threshold estimators. A new threshold estimator is proposed that is consistent under more general conditions. An extension to random thresholds is...

We examine the finite sample properties of the maximum likelihood estimator for the binary logit model with random covariates. Analytic expressions for the first-order bias and second-order mean squared error function for the maximum likelihood estimator in this model are derived, and we...

Observation-driven models provide a flexible framework for modelling time series of counts. They are able to capture a wide range of dependence structures. Many applications in this field of research are concerned with count series whose conditional distribution given past observations and...

Two probit simulators are described that are conceptually and computationally simple. The first is based on simulating the utilities of the non-chosen alternatives and calculating the probability that the chosen alternative's utility exceeds this maximum. This simulator is apparently new. The...

In many economic settings, the variable of interest is often a fraction or a proportion, being defined only on the unit interval. The bounded nature of such variables and, in some cases, the possibility of nontrivial probability mass accumulating at one or both boundaries raise some interesting...

In a sample selection or treatment effects model, common unobservables may affect both the outcome and the probability of selection in unknown ways. This paper shows that the distribution function of potential outcomes, conditional on covariates, can be identified given an observed variable V...

This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based...

This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>