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The Multinomial Probit Model Revisited: A Discussion of Parameter Estimability, Identification and Specification Testing

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  • Melvyn Weeks

Abstract

In this paper we examine the multinomial probit model in the light of recent developments in the field of simulation‐based inference. We focus upon five broad areas: specification of multinomial choice models; parameter estimability and the use of simulation techniques, parameter identification; specification testing; and practical issues in simulation‐based inference. Although the substitution of simulated probabilities for difficult to compute multidimensional integrals represents a significant step, by examining the more tenuous task of identification and in particular the identification of covariance parameters, we show how the specification and estimation of the multinomial probit still represents a formidable task.

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  • Melvyn Weeks, 1997. "The Multinomial Probit Model Revisited: A Discussion of Parameter Estimability, Identification and Specification Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 11(3), pages 297-320, September.
    • Handle: RePEc:bla:jecsur:v:11:y:1997:i:3:p:297-320
    DOI: 10.1111/1467-6419.00035
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    Cited by:

    1. Massimiliano Bratti, 2005. "Social Class and Undergraduate Degree Subject in the UK," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1015, Universitá degli Studi di Milano.
    2. Young, Gary & Valdez, Emiliano A. & Kohn, Robert, 2009. "Multivariate probit models for conditional claim-types," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 214-228, April.
    3. Friederike Paetz & Winfried J. Steiner, 2017. "The benefits of incorporating utility dependencies in finite mixture probit models," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(3), pages 793-819, July.
    4. Can, Vo Van, 2013. "Estimation of travel mode choice for domestic tourists to Nha Trang using the multinomial probit model," Transportation Research Part A: Policy and Practice, Elsevier, vol. 49(C), pages 149-159.
    5. Duncan, Alan & Weeks, Melvyn, 1997. "Behavioural tax microsimulation with finite hours choices," European Economic Review, Elsevier, vol. 41(3-5), pages 619-626, April.
    6. Elisabetta Marinelli, 2011. "Graduate migration in Italy - Lifestyle or necessity?," ERSA conference papers ersa11p1608, European Regional Science Association.
    7. Haapanen, Mika, 2000. "Impact Of Expected Earnings On Interregional Migration Decisions In Finland," ERSA conference papers ersa00p269, European Regional Science Association.
    8. Baltas, George & Doyle, Peter, 2001. "Random utility models in marketing research: a survey," Journal of Business Research, Elsevier, vol. 51(2), pages 115-125, February.
    9. S Arnold, 2010. "Environmental Decision Making and Behaviours: How do People Choose how to Travel to Work?," Department of Economics Working Papers 07/10, University of Bath, Department of Economics.
    10. Garcia Perez, Jose Ignacio & Rebollo Sanz, Yolanda, 2005. "Wage changes through job mobility in Europe: A multinomial endogenous switching approach," Labour Economics, Elsevier, vol. 12(4), pages 531-555, August.
    11. Preety Srivastava, 2010. "Does Bingeing Affect Earnings?," The Economic Record, The Economic Society of Australia, vol. 86(275), pages 578-595, December.

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