多项Probit模型中回归系数的逆回归估计

Inverse Regression Estimation for Regression Coefficient of Multinomial Probit Model

摘要: 本文将多项Probit模型推广到更一般的形式, 研究了推广的多项Probit模型的逆回归性质, 给出了回归系数的逆回归估计方法, 并证明了在满足一些条件时估计是渐近正态的. 模拟表明逆回归估计方法有良好的表现.

Abstract: In this paper, we generalize the Multinomial Probit Model and investigate the inverse regression of the Generalized Multinomial Probit Model. A method of inverse regression is proposed for estimating the regression coefficient. Under some assumptions we obtain the asymptotic normality of the estimate. The result of simulation shows that the method performs well.