The dynamic invariant multinomial probit model: Identification, pretesting and estimation
نویسندگان
چکیده
منابع مشابه
The Multinomial Multiperiod Probit Model: Identification and Efficient Estimation
In this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models. It is shown in particular that the standard autoregressive specification used in the literature can be interpreted as a latent common factor model. However, this specification is not invariant with respect to the selection of the baseline category. Hence, we propose an alternat...
متن کاملEstimability in the Multinomial Probit Model
Random utility models often involve terms which represent alternative-specific errors, and the main attractive feature of the multinomial probit (MNP) model is that it allows a rather general covariance structure for these errors. However, since observed choices only reveal information regarding utility differences, and since scale cannot be determined, not all parameters in an arbitr~iry MNP s...
متن کاملA multinomial probit model of stochastic evolution
A strategy revision process in symmetric normal form games is proposed. Following Kandori, Mailath, and Rob (1993), members of a population periodically revise their strategy choice, and choose a myopic best response to currently observed play. Their payoffs are perturbed by normally distributed Harsanyian (1973) trembles, so that strategies are chosen according to multinomial probit probabilit...
متن کاملApproximation and Simulation of the Multinomial Probit Model: An Analysis of Covariance Matrix Estimation
The multinomial probit (MNP) model is a primary application for combining simulation with estimation. Indeed, McFadden (1989) featured the MNP model in his seminal paper. As random utility model, the MNP model offers a highly desirable flexibility in substitution among alternatives that its chief rival, the multinomial logit model, fails to possess. The unrestricted character of the variance ma...
متن کاملA constrained multinomial Probit route choice model in the metro network: Formulation, estimation and application
Considering that metro network expansion brings us with more alternative routes, it is attractive to integrate the impacts of routes set and the interdependency among alternative routes on route choice probability into route choice modeling. Therefore, the formulation, estimation and application of a constrained multinomial probit (CMNP) route choice model in the metro network are carried out i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2010
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2009.09.021