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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2410.17153 |
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Table of Contents:
- This paper presents a Bayesian inference framework for a linear index threshold-crossing binary choice model that satisfies a median independence restriction. The key idea is that the model is observationally equivalent to a probit model with nonparametric heteroskedasticity. Consequently, Gibbs sampling techniques from Albert and Chib (1993) and Chib and Greenberg (2013) lead to a computationally attractive Bayesian inference procedure in which a Gaussian process forms a conditionally conjugate prior for the natural logarithm of the skedastic function.