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Estimability in the Multinomial Probit Model

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  • 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
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    1. 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.
    2. 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.
    3. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
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