The dynamic invariant multinomial probit model: Identification, pretesting and estimation

A-Tier
Journal: Journal of Econometrics
Year: 2010
Volume: 155
Issue: 2
Pages: 117-127

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We present a new specification for the multinomial multiperiod probit model with autocorrelated errors. In sharp contrast with commonly used specifications, ours is invariant with respect to the choice of a baseline alternative for utility differencing. It also nests these standard models as special cases, allowing for data-based selection of the baseline alternatives for the latter. Likelihood evaluation is achieved under an Efficient Importance Sampling (EIS) version of the standard GHK algorithm. Several simulation experiments highlight identification, estimation and pretesting within the new class of multinomial multiperiod probit models.

Technical Details

RePEc Handle
repec:eee:econom:v:155:y:2010:i:2:p:117-127
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29