A Bayesian analysis of the multinomial probit model with fully identi"ed parameters
نویسندگان
چکیده
We present a new prior and corresponding algorithm for Bayesian analysis of the multinomial probit model. Our new approach places a prior directly on the identi"ed parameter space. The key is the speci"cation of a prior on the covariance matrix so that the (1,1) element if "xed at 1 and it is possible to draw from the posterior using standard distributions. Analytical results are derived which can be used to aid in assessment of the prior. ( 2000 Elsevier Science S.A. All rights reserved. JEL classixcation: C11; C25; C33; C35
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