IDEAS home Printed from https://ideas.repec.org/p/cdl/uctcwp/qt1gf1t128.html
   My bibliography  Save this paper

Estimability in the Multinomial Probit Model

Author

Listed:
  • Bunch, David S.

Abstract

Random utility models often involve terms which represent alternative-specific errors, and the main attractive feature of the multinomial probit (MNP) model is that it allows a rather general covariance structure for these errors. However, since observed choices only reveal information regarding utility differences, and since scale cannot be determined, not all parameters in an arbitrary MNP specification may be identified. This paper examines identification restrictions that arise in the linear-in-parameters multinomial probit framework, and provides discussion and recommendations for estimation and analysis of probit normalizations.

Suggested Citation

  • Bunch, David S., 1991. "Estimability in the Multinomial Probit Model," University of California Transportation Center, Working Papers qt1gf1t128, University of California Transportation Center.
    • Handle: RePEc:cdl:uctcwp:qt1gf1t128
    as

    Download full text from publisher

    File URL: https://www.escholarship.org/uc/item/1gf1t128.pdf;origin=repeccitec
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hausman, Jerry A & Wise, David A, 1978. "A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences," Econometrica, Econometric Society, vol. 46(2), pages 403-426, March.
    2. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
    3. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yai, Tetsuo & Iwakura, Seiji & Morichi, Shigeru, 1997. "Multinomial probit with structured covariance for route choice behavior," Transportation Research Part B: Methodological, Elsevier, vol. 31(3), pages 195-207, June.
    2. Bolduc, Denis & Kaci, Mustapha, 1993. "Estimation des modèles probit polytomiques : un survol des techniques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(3), pages 161-191, septembre.
    3. Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986. "Classical estimation methods for LDV models using simulation," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441, Elsevier.
    4. Paul Gertler & Roland Sturm & Bruce Davidson, 1994. "Information and the Demand for Supplemental Medicare Insurance," NBER Working Papers 4700, National Bureau of Economic Research, Inc.
    5. Vassilis A. Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Cowles Foundation Discussion Papers 1049, Cowles Foundation for Research in Economics, Yale University.
    6. Jacques Huguenin & Florian Pelgrin & Alberto Holly, 2009. "Estimation of multivariate probit models by exact maximum likelihood," Working Papers 0902, University of Lausanne, Institute of Health Economics and Management (IEMS).
    7. Chihwa Kao & Lung-fei Lee & Mark M. Pitt, 2001. "Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 215-235, May.
    8. Hanemann, W. Michael & Kanninen, Barbara, 1996. "The Statistical Analysis Of Discrete-Response Cv Data," CUDARE Working Papers 25022, University of California, Berkeley, Department of Agricultural and Resource Economics.
    9. Vassilis A. Hajivassiliou, 1991. "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers 1007, Cowles Foundation for Research in Economics, Yale University.
    10. Berry, Steve & Pakes, Ariel, 2001. "Additional information for: "Comments on "Alternative models of demand for automobiles" by Charlotte Wojcik"," Economics Letters, Elsevier, vol. 74(1), pages 43-51, December.
    11. Horowitz, Joel & Keane, Michael & Bolduc, Denis & Divakar, Suresh & Geweke, John & Gonul, Fosun & Hajivassiliou, Vassilis & Koppelman, Frank & Matzkin, Rosa & Rossi, Peter & Ruud, Paul, 1994. "Advances in Random Utility Models," MPRA Paper 53026, University Library of Munich, Germany.
    12. davis, peter, 2006. "The Discrete Choice Analytically Flexible (DCAF) Model of Demand for Differentiated Products," CEPR Discussion Papers 5880, C.E.P.R. Discussion Papers.
    13. Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
    14. Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995. "Econometric Evaluation of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-274.
    15. Matteo Richiardi, 2003. "The Promises and Perils of Agent-Based Computational Economics," LABORatorio R. Revelli Working Papers Series 29, LABORatorio R. Revelli, Centre for Employment Studies.
    16. Freyberger, Joachim, 2015. "Asymptotic theory for differentiated products demand models with many markets," Journal of Econometrics, Elsevier, vol. 185(1), pages 162-181.
    17. Rania Gihleb & Osnat Lifshitz, 2022. "Dynamic Effects of Educational Assortative Mating on Labor Supply," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 46, pages 302-327, October.
    18. Lapo Filistrucchi & Tobias J. Klein, 2013. "Price Competition in Two-Sided Markets with Heterogeneous Consumers and Network Effects," Working Papers 13-20, NET Institute.
    19. Yannis M. Ioannides & Vassilis A. Hajivassiliou, 2007. "Unemployment and liquidity constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 479-510.
    20. Pradeep Chintagunta & Jean-Pierre Dubé & Vishal Singh, 2003. "Balancing Profitability and Customer Welfare in a Supermarket Chain," Quantitative Marketing and Economics (QME), Springer, vol. 1(1), pages 111-147, March.

    More about this item

    Keywords

    Social and Behavioral Sciences;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cdl:uctcwp:qt1gf1t128. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lisa Schiff (email available below). General contact details of provider: https://edirc.repec.org/data/itucbus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.