Dynamic invariant multinomial probit model: identification, pretesting and estimation

Liesenfeld, Roman; Richard, Jean-François

[journal article]

dc.contributor.author	Liesenfeld, Roman	de
dc.contributor.author	Richard, Jean-François	de
dc.date.accessioned	2011-10-02T02:50:00Z	de
dc.date.accessioned	2012-08-30T06:51:21Z
dc.date.available	2012-08-30T06:51:21Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/26799
dc.description.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 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]	en
dc.language	en	de
dc.subject.ddc	Sozialwissenschaften, Soziologie	de
dc.subject.ddc	Social sciences, sociology, anthropology	en
dc.subject.other	Discrete choice; Efficient Importance sampling; Invariance; Monte-Carlo integration; Panel data; Simulated maximum likelihood;
dc.title	Dynamic invariant multinomial probit model: identification, pretesting and estimation	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Econometrics	de
dc.source.volume	155	de
dc.source.issue	2	de
dc.subject.classoz	Erhebungstechniken und Analysetechniken der Sozialwissenschaften	de
dc.subject.classoz	Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods	en
dc.identifier.urn	urn:nbn:de:0168-ssoar-267992	de
dc.date.modified	2011-10-06T10:31:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	1	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	117-127
internal.identifier.classoz	10105
internal.identifier.journal	195	de
internal.identifier.document	32
internal.identifier.ddc	300
dc.identifier.doi	https://doi.org/10.1016/j.jeconom.2009.09.021	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods

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