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Alternative Computational Approaches to Inference in the Multinomial Probit Model
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Abstract-This research compares several approaches to in-ference in the multinomial probit model, based on two Monte Carlo experiments for a seven choice model. The methods compared are the simulated maximum likelihood estimator using the GHK recursive probability,simulator, the method of simulated moments estimator using the GHK recursive simu-lator and kernel-smoothed frequency simulators, and poste-rior means using a Gibbs sampling-data augmentation algo-rithm. Overall, the Gibbs sampling algorithm has a slight edge, with the relative performance of MSM and SML based on the GHK simulator being difficult to evaluate. The MSM estimator with the kernel-smoothed frequency simulator is clearly inferior. I.
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Cites
Sampling-based approaches to calculating marginal densities
Gelfand, A. E., & Smith, A. F. M. (1990) · Journal of the American Statistical Association · doi:10.1080/01621459.1990.10476213 · Cited by 6,606
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Train, K. E. (2001) · doi:10.1017/cbo9780511805271 · Cited by 7,784
The Mixed Logit model: The state of practice
Hensher, D. A., & Greene, W. H. (2003) · Transportation · doi:10.1023/a:1022558715350 · Cited by 2,047
Correcting for Endogeneity in Strategic Management Research
Hamilton, B. H., & Nickerson, J. A. (2003) · Strategic Organization · doi:10.1177/1476127003001001218 · Cited by 1,309
Highway accident severities and the mixed logit model: An exploratory empirical analysis
Milton, J. C., Shankar, V. N., & Mannering, F. L. (2008) · Accident Analysis & Prevention · doi:10.1016/j.aap.2007.06.006 · Cited by 845
A Microeconometric Evaluation of the Active Labour Market Policy in Switzerland
Gerfin, M., & Lechner, M. (2002) · The Economic Journal · doi:10.1111/1468-0297.00072 · Cited by 416
Metadata
- Authors
- Geweke, J., Keane, M., & Runkle, D.
- Venue
- The Review of Economics and Statistics
- Publisher
- JSTOR
- Published
- 1994-11
- Volume
- 76
- Issue
- 4
- Pages
- 609
- ISSN
- 0034-6535 (ISSN-L)
- OpenAlex
- W3021862730
- Cited by
- 338
- References
- 1
- FWCI
- 22.50
- Type
- journal article
- Language
- en
- Open access
- gold
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