What can we learn about correlations from multinomial probit estimates?
It is well known that, in a multinomial probit, only the covariance matrix of the location and scale normalized utilities are identified. In this study, 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. We show that, in certain circumstances, it is possible to obtain information on these behavioural parameters and define appropriate tools for inference. We illustrate the usefulness of our results in applied settings using an example.
|Date of creation:||2006|
|Contact details of provider:|| Postal: Piazza Scaravilli, 2, and Strada Maggiore, 45, 40125 Bologna|
Phone: +39 051 209 8019 and 2600
Fax: +39 051 209 8040 and 2664
Web page: http://www.dse.unibo.it
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dansie, B. R., 1985. "Parameter estimability in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 19(6), pages 526-528, December.
- 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.
- 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.
- Andrew Chesher & J. M. C. Santos Silva, 2002. "Taste Variation in Discrete Choice Models," Review of Economic Studies, Oxford University Press, vol. 69(1), pages 147-168.
- Wolak, Frank A., 1989. "Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(01), pages 1-35, April.
- Joseph A. Herriges & Catherine L. Kling, 1999.
"Nonlinear Income Effects in Random Utility Models,"
The Review of Economics and Statistics,
MIT Press, vol. 81(1), pages 62-72, February.
- Herriges, Joseph A. & Kling, Catherine L., 1999. "Nonlinear Income Effects in Random Utility Models," Staff General Research Papers Archive 1494, Iowa State University, Department of Economics.
- 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.
- Bunch, David S., 1991. "Estimability in the Multinomial Probit Model," University of California Transportation Center, Working Papers qt1gf1t128, University of California Transportation Center.
- Bunch, David S., 1991. "Estimability in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 25(1), pages 1-12, February. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:bol:bodewp:558. 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: (Dipartimento Scienze Economiche, Universita' di Bologna)
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.