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Simulated classical tests in multinomial probit models

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  • Andreas Ziegler

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  • Andreas Ziegler, 2007. "Simulated classical tests in multinomial probit models," Statistical Papers, Springer, vol. 48(4), pages 655-681, October.
    • Handle: RePEc:spr:stpapr:v:48:y:2007:i:4:p:655-681
    DOI: 10.1007/s00362-007-0362-3
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    2. Rendtel, Ulrich & Kaltenborn, Ulrich, 2004. "The stability of simulation based estimation of the multiperiod multinominal probit model with individual specific covariates," Discussion Papers 2004/5, Free University Berlin, School of Business & Economics.
    3. Sándor, Zsolt & Train, Kenneth, 2004. "Quasi-random simulation of discrete choice models," Transportation Research Part B: Methodological, Elsevier, vol. 38(4), pages 313-327, May.
    4. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
    5. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
    6. Geweke, John & Keane, Michael P & Runkle, David, 1994. "Alternative Computational Approaches to Inference in the Multinomial Probit Model," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 609-632, November.
    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.
    8. Brownstone, David & Train, Kenneth, 1998. "Forecasting new product penetration with flexible substitution patterns," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 109-129, November.
    9. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August.
    10. Bolduc, Denis & Lacroix, Guy & Muller, Christophe, 1996. "The choice of medical providers in rural Benin: A comparison of discrete choice models," Journal of Health Economics, Elsevier, vol. 15(4), pages 477-498, August.
    11. Lee, Lung-fei, 1999. "Statistical Inference With Simulated Likelihood Functions," Econometric Theory, Cambridge University Press, vol. 15(3), pages 337-360, June.
    12. Ziegler, Andreas, 2001. "Simulated z-tests in multinomial probit models," ZEW Discussion Papers 01-53, ZEW - Leibniz Centre for European Economic Research.
    13. Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June.
    14. Vassilis A. Hajivassiliou & Daniel L. McFadden, 1998. "The Method of Simulated Scores for the Estimation of LDV Models," Econometrica, Econometric Society, vol. 66(4), pages 863-896, July.
    15. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134.
    16. 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.
    17. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September.
    18. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    19. Bolduc, Denis, 1999. "A practical technique to estimate multinomial probit models in transportation," Transportation Research Part B: Methodological, Elsevier, vol. 33(1), pages 63-79, February.
    20. Lee, Lung-Fei, 1997. "Simulated maximum likelihood estimation of dynamic discrete choice statistical models some Monte Carlo results," Journal of Econometrics, Elsevier, vol. 82(1), pages 1-35.
    21. Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September.
    22. Wei Zhang & Lung-fei Lee, 2004. "Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 120-142, June.
    23. Klaus Rennings & Andreas Ziegler & Thomas Zwick, 2004. "The effect of environmental innovations on employment changes: an econometric analysis," Business Strategy and the Environment, Wiley Blackwell, vol. 13(6), pages 374-387, November.
    24. Garrido, Rodrigo A. & Leva, Mabel, 2004. "Port of destination and carrier selection for fruit exports: a multi-dimensional space-time multi-nomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 38(7), pages 657-667, August.
    25. Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
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    Cited by:

    1. Ziegler, Andreas, 2012. "Individual characteristics and stated preferences for alternative energy sources and propulsion technologies in vehicles: A discrete choice analysis for Germany," Transportation Research Part A: Policy and Practice, Elsevier, vol. 46(8), pages 1372-1385.
    2. Ziegler, Andreas & Schröder, Michael, 2010. "What determines the inclusion in a sustainability stock index?: A panel data analysis for european firms," Ecological Economics, Elsevier, vol. 69(4), pages 848-856, February.
    3. Andreas Ziegler, 2010. "Individual Characteristics and Stated Preferences for Alternative Energy Sources and Propulsion Technologies in Vehicles: A Discrete Choice Analysis," CER-ETH Economics working paper series 10/125, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    4. Ziegler Andreas, 2010. "Z-Tests in Multinomial Probit Models under Simulated Maximum Likelihood Estimation: Some Small Sample Properties," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(5), pages 630-652, October.
    5. Andreas Ziegler, 2008. "Disentangling Specific Subsets of Innovations : A Micro-Econometric Analysis of their Determinants," CER-ETH Economics working paper series 08/100, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.

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