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MCMC Methods for Fitting and Comparing Multinomial Response Models

  • Siddhartha Chib

    (Washington University)

  • Edward Greenberg

    (Washington University)

  • Yuxin Chen

    (Washington University)

This paper is concerned with statistical inference in multinomial probit, multinomial-$t$ and multinomial logit models. New Markov chain Monte Carlo (MCMC) algorithms for fitting these models are introduced and compared with existing MCMC methods. The question of parameter identification in the multinomial probit model is readdressed. Model comparison issues are also discussed and the method of Chib (1995) is utilized to find Bayes factors for competing multinomial probit and multinomial logit models. The methods and ideas are illustrated in detail with an example.

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File URL: http://128.118.178.162/eps/em/papers/9802/9802001.ps.gz
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File URL: http://128.118.178.162/eps/em/papers/9802/9802001.pdf
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Paper provided by EconWPA in its series Econometrics with number 9802001.

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Length: 29 pages
Date of creation: 06 Feb 1998
Date of revision: 06 May 1998
Handle: RePEc:wpa:wuwpem:9802001
Note: Type of Document - ps; prepared on TeX; pages: 29 ; figures: included
Contact details of provider: Web page: http://128.118.178.162

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  1. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
  2. McCulloch, Robert & Rossi, Peter E., 1994. "An exact likelihood analysis of the multinomial probit model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 207-240.
  3. 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.
  4. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
  5. repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
  6. John Geweke & Michael Keane & David Runkle, 1994. "Alternative computational approaches to inference in the multinomial probit model," Staff Report 170, Federal Reserve Bank of Minneapolis.
  7. 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.
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