Summary This paper analyzes small sample properties of several versions of z-tests in multinomial probit models under … simulated maximum likelihood estimation. Our Monte 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 …

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 …