Multivariate Ordered Discrete Response Models

115 Pages Posted: 26 May 2022 Last revised: 13 Mar 2023

See all articles by Tatiana Komarova

Tatiana Komarova

Department of Economics, University of Manchester

William Matcham

University of London, Royal Holloway College - Department of Economics

Date Written: February 11, 2023

Abstract

We introduce multivariate ordered discrete response models with general rectangular
structures. From the perspective of behavioral economics, these non-lattice models correspond to broad bracketing in decision making, whereas lattice models, which researchers
typically estimate in practice, correspond to narrow bracketing. In these models, we specify
latent processes as a sum of an index of covariates and an unobserved error, with unoboservables for different latent processes potentially correlated. We provide conditions that
are sufficient for identification under the independence of errors and covariates and outline
an estimation approach. We present simulations and empirical examples, with a particular
focus on probit specifications.

Keywords: ordered response, non-lattice structure, binary decision tree, identification, semiparametric models, broad bracketing, narrow bracketing

JEL Classification: C14, C31, C35, C57, D9, D12, D81

Suggested Citation

Komarova, Tatiana and Matcham, William, Multivariate Ordered Discrete Response Models (February 11, 2023). Available at SSRN: https://ssrn.com/abstract=4103429 or http://dx.doi.org/10.2139/ssrn.4103429

Tatiana Komarova (Contact Author)

Department of Economics, University of Manchester ( email )

Arthur Lewis Building
Oxford Road
Manchester, M13 9PL
United Kingdom

William Matcham

University of London, Royal Holloway College - Department of Economics ( email )

Royal Holloway College
Egham
Surrey, Surrey TW20 0EX
United Kingdom

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