Statistical inference in the multinomial multiperiod probit model

DOI10.1016/S0304-4076(97)00005-5zbMath0898.62140OpenAlexW2081597971WikidataQ60155242 ScholiaQ60155242MaRDI QIDQ1367142

John F. Geweke, David E. Runkle, Michael P. Keane

Publication date: 3 November 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00005-5

zbMATH Keywords

panel dataBayesian inferenceGibbs samplingsimulated maximum likelihooddata augmentationdiscrete choicemethod of simulated momentsmultinomial multiperiod probit models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Simulation-based inference. A survey with special reference to panel data models
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Simulation and the Asymptotics of Optimization Estimators
• Sampling-Based Approaches to Calculating Marginal Densities
• The Calculation of Posterior Distributions by Data Augmentation
• A Computationally Practical Simulation Estimator for Panel Data
• Is Perfect Price Discrimination Really Efficient?: Welfare and Existence in General Equilibrium
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration

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