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Simulated z-tests in multinomial probit models

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Ziegler, Andreas R.
Abstract

Within the framework of Monte Carlo experiments, this paper systematically compares different versions of the simulated z-test (using the GHK simulator) in one- and multiperiod multinomial probit models. One important finding is that, in the flexible probit models, the tests on parameters of explanatory variables mostly provide robust results in contrast to the tests on variance-covariance parameters. Overall, neither the amount of random draws in the GHK simulator nor the choice of a certain version of the simulated z-test have a strong influence on the test results. This finding refers to the conformity between the shares of type I errors and the basic significance levels as well as to the number of type II errors. In contrast, the number of type II errors in the simulated z-tests on variance-covariance parameters is reduced by increasing the sample size. Effects of misspecifications on simulated z-tests only appear in the multiperiod multinomial probit model. In this case, the inclusion of the concept of the quasi maximum likelihood theory in the simulated z-test provides comparatively more favourable results. --

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Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 01-53.

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Date of creation: 2001
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Handle: RePEc:zbw:zewdip:5409

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  2. Lee, Lung-fei, 1999. "Statistical Inference With Simulated Likelihood Functions," Econometric Theory, Cambridge University Press, vol. 15(03), pages 337-360, June. [Downloadable!]
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  7. BOLDUC, Denis & FORTIN, Bernard & GORDON, Stephen, 1995. "Multinomial Probit Estimation of Spatially Interdependent Choices: an Empirical Comparison of Two New Techniques," Cahiers de recherche 9508, Université Laval - Département d'économique.
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  8. 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)
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  10. Bolduc, Denis, 1992. "Generalized autoregressive errors in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 26(2), pages 155-170, April. [Downloadable!] (restricted)
  11. Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307. [Downloadable!] (restricted)
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  13. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134. [Downloadable!] (restricted)
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  14. repec:cup:etheor:v:11:y:1995:i:3:p:437-83 is not listed on IDEAS
  15. Vassilis A. Hajivassiliou & Daniel L. McFadden, 1998. "The Method of Simulated Scores for the Estimation of LDV Models," Econometrica, Econometric Society, vol. 66(4), pages 863-896, July.
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  16. Christian Gourieroux & Alain Monfort, 1991. "Simulation Based Inference in Models with Heterogeneity," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 05, Octobre-m. [Downloadable!]
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  18. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
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