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The Multinomial Probit Model Revisited: A Discussion of Parameter Estimability, Identification and Specification Testing

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  • Weeks, Melvyn

Abstract

In this paper we examine the multinomial probit model in the light of recent developments in the field of simulation-based inference. We focus upon five broad areas: specification of multinomial choice models; parameter estimability and the use of simulation techniques, parameter identification; specification testing; and practical issues in simulation-based inference. Although the substitution of simulated probabilities for difficult to compute multi-dimensional integrals represents a significant step, by examining the more tenuous task of identification and in particular the identification of covariance parameters, we show how the specification and estimation of the multinomial probit still represents a formidable task. Copyright 1997 by Blackwell Publishers Ltd

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Economic Surveys.

Volume (Year): 11 (1997)
Issue (Month): 3 (September)
Pages: 297-320

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Handle: RePEc:bla:jecsur:v:11:y:1997:i:3:p:297-320

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Cited by:
  1. Massimiliano Bratti, 2005. "Social Class and Undergraduate Degree Subject in the UK," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1015, Universitá degli Studi di Milano.
  2. Duncan, Alan & Weeks, Melvyn, 1997. "Behavioural tax microsimulation with finite hours choices," European Economic Review, Elsevier, vol. 41(3-5), pages 619-626, April.
  3. Young, Gary & Valdez, Emiliano A. & Kohn, Robert, 2009. "Multivariate probit models for conditional claim-types," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 214-228, April.
  4. Baltas, George & Doyle, Peter, 2001. "Random utility models in marketing research: a survey," Journal of Business Research, Elsevier, vol. 51(2), pages 115-125, February.
  5. Elisabetta Marinelli, 2011. "Graduate migration in Italy - Lifestyle or necessity?," ERSA conference papers ersa11p1608, European Regional Science Association.
  6. Can, Vo Van, 2013. "Estimation of travel mode choice for domestic tourists to Nha Trang using the multinomial probit model," Transportation Research Part A: Policy and Practice, Elsevier, vol. 49(C), pages 149-159.
  7. Garcia Perez, Jose Ignacio & Rebollo Sanz, Yolanda, 2005. "Wage changes through job mobility in Europe: A multinomial endogenous switching approach," Labour Economics, Elsevier, vol. 12(4), pages 531-555, August.
  8. Haapanen, Mika, 2000. "Impact Of Expected Earnings On Interregional Migration Decisions In Finland," ERSA conference papers ersa00p269, European Regional Science Association.
  9. Arnold, Steven, 2010. "Environmental Decision Making and Behaviours : How to People Choose how to Travel to Work?," Department of Economics Working Papers 19375, University of Bath, Department of Economics.

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