The Trace Restriction: An Alternative Identification Strategy for the Bayesian Multinomial Probit Model
Previous authors have made Bayesian multinomial probit models identifiable by fixing a parameter on the main diagonal of the covariance matrix. The choice of which element one fixes can influence posterior predictions. Thus, we propose restricting the trace of the covariance matrix, which we achieve without computational penalty. This permits a prior that is symmetric to permutations of the nonbase outcome categories. We find in real and simulated consumer choice datasets that the trace-restricted model is less prone to making extreme predictions. Further, the trace restriction can provide stronger identification, yielding marginal posterior distributions that are more easily interpreted.
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): 30 (2012)
Issue (Month): 3 (February)
|Contact details of provider:|| Web page: http://www.tandfonline.com/UBES20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/UBES20|
When requesting a correction, please mention this item's handle: RePEc:taf:jnlbes:v:30:y:2012:i:3:p:404-410. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.