The Statistical Relationship between Bivariate and Multinomial Choice Models

The authors demonstrate the conditions under which the bivariate probit model can be considered a special case of the more general multinomial probit model. Since the attendant parameter restrictions produce a singular covariance matrix, the subsequent problems of testing on the boundary of the parameter space are circumvented by the construction of a score test.

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Year of publication:	1999-06
Authors:	Weeks, M. ; Orne, C.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	Discrete choice \| Bivariate probit \| Multinomial probit \| Nested choice models

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Extent:	application/pdf
Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C25 - Discrete Regression and Qualitative Choice Models ; C21 - Cross-Sectional Models; Spatial Models ; C12 - Hypothesis Testing ; C35 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005783772