What can we learn about correlations from multinomial probit estimates?

It is well known that, in a multinomial probit, only the covariance matrix of the location and scale normalized utilities are identified. In this note, we explore the relation between these identifiable parameters and the original elements of the covariance matrix, to find out what can be learnt about the correlations between the stochastic components of the non-normalized utilities.

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Year of publication:	2008
Authors:	Rousse, Olivier ; Monfardini, Chiara
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2008, 28, p. 1-9
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005416851