Multinomial probit estimation without nuisance parameters

DOI10.1111/1368-423X.00091MaRDI QIDQ4416018zbMATH OpenFDO

Authors Jon A. Breslaw

Publication date 7 August 2003

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423X.00091

zbMATH Keywords

discrete choice modelsGibbs samplerMonte Carlo simulationmultinomial logitmultinomial probitmultivariate normal distributionrandom utility modelrank-ordered datasimulated EM algorithm

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics (62P99) Monte Carlo methods (65C05)

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Cites work

• A Bayesian multidimensional scaling procedure for the spatial analysis of revealed choice data
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Extensions of estimation methods using the EM algorithm
• scientific article; zbMATH DE number 3748284 (Why is no real title available?)
• Marketing models of consumer heterogeneity
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Specifying and testing econometric models for rank-ordered data
• Statistical inference in the multinomial multiperiod probit model
• The multivariate normal distribution

Cited in

(7)

• Bayes estimation in the hierarchical multinomial probit model
• The Estimation of Multinomial Probit Models: A New Calibration Algorithm
• Parsimonious estimation of the covariance matrix in multinomial probit models
• A New Multinomial Model and a Zero Variance Estimation
• The performance of German firms in the business-related service sectors revisited: Differential evolution Markov chain estimation of the multinomial probit model
• Partial ML estimation for spatial autoregressive nonlinear probit models with autoregressive disturbances
• Parameter estimation in multivariate logit models with many binary choices

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