Monfardini, Chiara and Santos Silva, Joao M C (2008) What can we learn about correlations from multinomial probit estimates? Economics Bulletin, 3 (28). pp. 1-9.
Monfardini, Chiara and Santos Silva, Joao M C (2008) What can we learn about correlations from multinomial probit estimates? Economics Bulletin, 3 (28). pp. 1-9.
Monfardini, Chiara and Santos Silva, Joao M C (2008) What can we learn about correlations from multinomial probit estimates? Economics Bulletin, 3 (28). pp. 1-9.
Abstract
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.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Economics, Department of |
| Depositing User: | Jim Jamieson |
| Date Deposited: | 07 Aug 2012 11:16 |
| Last Modified: | 07 Aug 2012 11:16 |
| URI: | http://repository.essex.ac.uk/id/eprint/3551 |