What can we learn about correlations from multinomial probit estimates?
AbstractIt 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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Bibliographic InfoPaper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 558.
Date of creation: 2006
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Other versions of this item:
- Chiara Monfardini & Joao Santos Silva, 2008. "What can we learn about correlations from multinomial probit estimates?," Economics Bulletin, AccessEcon, vol. 3(28), pages 1-9.
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-09-03 (All new papers)
- NEP-DCM-2006-09-03 (Discrete Choice Models)
- NEP-ECM-2006-09-03 (Econometrics)
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