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Dynamic invariant multinomial probit model: identification, pretesting and estimation
[Zeitschriftenartikel]
Abstract "We present a new specification for the multinomial multiperiod Probit model with autocorrelated errors. In sharp contrast with commonly used specifications, ours is invariant with respect to the choice of a baseline alternative for utility differencing. It also nests these standard models as specia... mehr
"We present a new specification for the multinomial multiperiod Probit model with autocorrelated errors. In sharp contrast with commonly used specifications, ours is invariant with respect to the choice of a baseline alternative for utility differencing. It also nests these standard models as special cases, allowing for data based selection of the baseline alternatives for the latter. Likelihood evaluation is achieved under an Efficient Importance Sampling (EIS) version of the standard GHK algorithm. Several simulation experiments highlight identification, estimation and pretesting within the new class of multinomial multiperiod Probit models." [author's abstract]... weniger
Klassifikation
Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Freie Schlagwörter
Discrete choice; Efficient Importance sampling; Invariance; Monte-Carlo integration; Panel data; Simulated maximum likelihood;
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 117-127
Zeitschriftentitel
Journal of Econometrics, 155 (2009) 2
DOI
https://doi.org/10.1016/j.jeconom.2009.09.021
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)