Bayesian Skew-Probit Regression for Binary Response Data

Since many authors have emphasized the need of asymmetric link functions to fit binary regression models, we propose in this work two new skew-probit link functions for the binary response variables. These link functions will be named power probit and reciprocal power probit due to the relation between them including the probit link as a special case. Also, the probit regressions are special cases of the models considered in this work. A Bayesian inference approach using MCMC is developed for real data suggesting that the link functions proposed here are more appropriate than other link functions used in the literature. In addition, simulation study show that the use of probit model will lead to biased estimate of the regression coefficient. © Brazilian Statistical Association, 2014.