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What can we learn about correlations from multinomial probit estimates?

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Author Info
Chiara Monfardini () (Dipartimento di Scienze Economiche, Università di Bologna)
J.M.C. Santos Silva () (Department of Economics, University of Essex and CEMAPRE)

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Abstract

It is well known that, in a multinomial probit, only the covariance matrix of the location and scale normalized utilities are identified. In this note, we explore the relation between these identifiable parameters and the original elements of the covariance matrix, to find out what can be learnt about the correlations between the stochastic components of the non-normalized utilities.

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File URL: http://economicsbulletin.vanderbilt.edu/2008/volume3/EB-08C20028A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2008)
Issue (Month): 28 ()
Pages: 1-9
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2008:i:28:p:1-9

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Related research
Keywords: Equicorrelation; Identification; Normalization;

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Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

References listed on IDEAS
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  1. Keane, Michael P, 1992. "A Note on Identification in the Multinomial Probit Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 193-200, April.
  2. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470. [Downloadable!]
  3. Chesher, Andrew & Santos Silva, J M C, 2002. "Taste Variation in Discrete Choice Models," Review of Economic Studies, Blackwell Publishing, vol. 69(1), pages 147-68, January.
  4. Dansie, B. R., 1985. "Parameter estimability in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 19(6), pages 526-528, December. [Downloadable!] (restricted)
  5. Monfardini, Chiara, 2003. "An illustration of Cox's non-nested testing procedure for logit and probit models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 425-444, March. [Downloadable!] (restricted)
  6. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics. [Downloadable!]
  7. Bunch, David S., 1991. "Estimability in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 25(1), pages 1-12, February. [Downloadable!] (restricted)
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This page was last updated on 2009-11-16.

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