Simulated Classical Tests in the Multiperiod Multinomial Probit Model
نویسندگان
چکیده
منابع مشابه
Simulated Classical Tests in the Multiperiod Multinomial Probit Model
This paper compares different versions of the simulated counterparts of the Wald test, the score test, and the likelihood ratio test in the multiperiod multinomial probit model. Monte Carlo experiments show that the simple form of the simulated likelihood ratio test delivers the most favorable test results in the five-period three-alternative probit model considered here. This result applies to...
متن کاملSimulated z-Tests in Multinomial Probit Models
Within the framework of Monte Carlo experiments, this paper systematically compares different versions of the simulated z-test (using the GHK simulator) in oneand multiperiod multinomial probit models. One important finding is that, in the flexible probit models, the tests on parameters of explanatory variables mostly provide robust results in contrast to the tests on variance-covariance parame...
متن کاملThe Multinomial Multiperiod Probit Model: Identification and Efficient Estimation
In this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models. It is shown in particular that the standard autoregressive specification used in the literature can be interpreted as a latent common factor model. However, this specification is not invariant with respect to the selection of the baseline category. Hence, we propose an alternat...
متن کاملEstimability in the Multinomial Probit Model
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 arbitr~iry MNP s...
متن کاملZ-Tests in multinomial probit models under simulated maximum likelihood estimation: some small sample properties
This paper analyzes small sample properties of several versions of z-tests in multinomial probit models under simulated maximum likelihood estimation. OurMonte Carlo experiments show that z-tests on utility function coefficients provide more robust results than z-tests on variance covariance parameters. As expected, both the number of observations and the number of random draws in the incorpora...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.318942