Statistical inference in the multinomial multiperiod probit model
DOI10.1016/S0304-4076(97)00005-5zbMATH Open0898.62140OpenAlexW2081597971WikidataQ60155242 ScholiaQ60155242MaRDI QIDQ1367142FDOQ1367142
Authors: John Geweke, Michael Keane, David E. Runkle 
Publication date: 3 November 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00005-5
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Bayesian inferencedata augmentationpanel dataGibbs samplingmethod of simulated momentsdiscrete choicesimulated maximum likelihoodmultinomial multiperiod probit models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)
Cites Work
- The Calculation of Posterior Distributions by Data Augmentation
- Simulation and the Asymptotics of Optimization Estimators
- Sampling-Based Approaches to Calculating Marginal Densities
- Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
- A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
- Simulation-based inference. A survey with special reference to panel data models
- Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
- A Computationally Practical Simulation Estimator for Panel Data
- Is Perfect Price Discrimination Really Efficient?: Welfare and Existence in General Equilibrium
Cited In (32)
- A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
- What are the advantages of MCMC based inference in latent variable models?
- Efficient estimation of probit models with correlated errors
- The performance of German firms in the business-related service sectors revisited: Differential evolution Markov chain estimation of the multinomial probit model
- A Bayesian semiparametric analysis for additive hazard models with censored observations
- Bayesian analysis of multivariate nominal measures using multivariate multinomial probit models
- Semiparametric Bayesian inference in smooth coefficient models
- Biases in maximum simulated likelihood estimation of bivariate models
- Panel data analysis of household brand choices
- Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers
- The dynamic invariant multinomial probit model: identification, pretesting and estimation
- Inference on semiparametric multinomial response models
- On the Multivariate Probit Model for Exchangeable Binary Data with Covariates
- Comparing dynamic equilibrium models to data: a Bayesian approach
- Simulated classical tests in multinomial probit models
- Marketing models of consumer heterogeneity
- A Bayesian method for analyzing combinations of continuous, ordinal, and nominal categorical data with missing values
- Multivariate probit models for conditional claim-types
- Computational issues in the sequential probit model: a Monte Carlo study
- Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results
- Multilevel and nonlinear panel data models
- A model of health plan choice: inferring preferences and perceptions from a combination of revealed preference and attitudinal data.
- The Estimation of Multinomial Probit Models: A New Calibration Algorithm
- Title not available (Why is that?)
- Discrete choice models for ordinal response variables: a generalization of the stereotype model
- Perfectly random sampling of truncated multinormal distributions
- A Monte Carlo EM method for estimating multinomial probit models.
- Likelihood approximation by numerical integration on sparse grids
- Efficient algorithms for generating truncated multivariate normal distributions
- On the simulated maximum likelihood estimation of multiperiod multinomial probit models
- Estimation of finite sequential games
- Multinomial probit estimation without nuisance parameters
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