Generalized autoregressive errors in the multinomial probit model
In discrete choice analysis, the multinational probit (MNP) provides the most flexible framework to allow for general interdependencies among the alternatives. These interdependencies are usually modeled through the correlation structure of the error term. This framework suffers from two serious impediments, however. The first and major one is computational and is related to the evaluation of the response probabilities, which are multidimensional normal integrals. In the past, this has restricted its utilization to studies involving less than five alternatives where using numerical integration remains practical. A recent solution to the dimensionality problem consists in replacing the choice probabilities with easy to compute efficient simulators. The second impediment arises in models with large choice sets when a fully unconstrained error correlation structure is postulated. In that case, the large number of nuisance parameters to estimate in the error covariance matrix becomes a problematic issue that can exacerbate the estimation process. To tackle that problem, a first-order generalized autoregressive [GAR(1)] error approach is suggested. The approach enables one to approximate general correlation structures with parsimonious parametric specifications. The key feature of the approach is that the number of nuisance parameters grows linearly with the number of alternatives considered. The methodology is most useful in models with large choice sets where the estimation also requires to use probability simulators. The paper focuses on the GAR(1) solution to the error covariance matrix estimation problem. The issue of identification of the nuisance parameters is examined in detail and a rank condition is suggested. Some theoretical and numerical examples based on synthetic data are presented.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 26 (1992)
Issue (Month): 2 (April)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/548/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:transb:v:26:y:1992:i:2:p:155-170. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.