Simulated classical tests in multinomial probit models

DOI10.1007/S00362-007-0362-3MaRDI QIDQ2457788zbMATH OpenOpenAlexFDO

Authors Andreas Ziegler

Publication date 23 October 2007

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-007-0362-3

zbMATH Keywords

GHK simulatorMonte Carlo simulationone- and multiperiod multinomial probit modelssimulated classical teststables

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• A Computationally Practical Simulation Estimator for Panel Data
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Alternative sampling methods for estimating multivariate normal probabilities
• Forecasting new product penetration with flexible substitution patterns
• scientific article; zbMATH DE number 48320 (Why is no real title available?)
• scientific article; zbMATH DE number 1943891 (Why is no real title available?)
• Maximum Likelihood Estimation of Misspecified Models
• Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
• Monte-Carlo evaluation of multivariate normal probabilities
• Multivariate regression analysis of panel data with binary outcomes applied to unemployment data
• On the simulated maximum likelihood estimation of multiperiod multinomial probit models
• Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results
• Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• 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
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• STATISTICAL INFERENCE WITH SIMULATED LIKELIHOOD FUNCTIONS
• The Method of Simulated Scores for the Estimation of LDV Models

Cited in

(5)

• Statistical inference in the multinomial multiperiod probit model
• On the simulated maximum likelihood estimation of multiperiod multinomial probit models
• scientific article; zbMATH DE number 1943895 (Why is no real title available?)
• scientific article; zbMATH DE number 1859306 (Why is no real title available?)
• On the use of enumeration for investigating the performance of hypothesis tests for economic models with a discrete response variable

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