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What can we learn about correlations from multinomial probit estimates?

Monfardini, C and Santos Silva, Joao M C (2006) What can we learn about correlations from multinomial probit estimates? Working Paper. Universita' di Bologna, Dipartimento Scienze Economiche.

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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: Monograph (Working Paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Aug 2012 13:12
Last Modified: 07 Aug 2012 13:12
URI: http://repository.essex.ac.uk/id/eprint/3566

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