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dc.contributor.authorLiesenfeld, Romanen_US
dc.contributor.authorRichard, Jean-Françoisen_US
dc.date.accessioned2009-01-29T14:13:43Z-
dc.date.available2009-01-29T14:13:43Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/22042-
dc.description.abstractIn this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models. It is shown in particular that the standard autoregressive specification used in the literature can be interpreted as a latent common factor model. However, this specification is not invariant with respect to the selection of the baseline category. Hence, we propose an alternative specification which is invariant with respect to such a selection and identifies coefficients characterizing the stationary covariance matrix which are not identified in the standard approach. For likelihood evaluation requiring high-dimensional truncated integration we propose to use a generic procedure known as Efficient Importance Sampling (EIS). A special case of our proposed EIS algorithm is the standard GHK probability simulator. To illustrate the relative performance of both procedures we perform a set Monte-Carlo experiments. Our results indicate substantial numerical e?ciency gains of the ML estimates based on GHK-EIS relative to ML estimates obtained by using GHK.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesEconomics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2007,26en_US
dc.subject.jelC35en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keywordDiscrete choiceen_US
dc.subject.keywordImportance samplingen_US
dc.subject.keywordMonte-Carlo integrationen_US
dc.subject.keywordPanel dataen_US
dc.subject.keywordParameter identificationen_US
dc.subject.keywordSimulated maximum likelihooden_US
dc.subject.stwProbit-Modellen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwMaximum-Likelihood-Methodeen_US
dc.subject.stwTheorieen_US
dc.titleThe Multinomial Multiperiod Probit Model: Identification and Efficient Estimationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn546256643en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cauewp:6340-
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

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