We consider the widely used multinomial logit model with i.i.d. Gumbel random terms. Transition choice probabilities, i.e. probabilities of choosing alternative i in the first choice and alternative j in the second, are available in analytic form in the two extreme cases where the random terms...

Extant solutions for state-contingent process switching use first-passage time densities or differential equations. We alternatively employ transition probabilities. These conditional likelihood functions also have obvious appeal for econometric analyses as well as derivative pricing and...