Multinomial choice models based on Archimedean copulas

DOI10.1007/s10182-015-0262-8zbMath1443.62139OpenAlexW2198832379MaRDI QIDQ1622078

Jörg Schwiebert

Publication date: 12 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-015-0262-8

zbMATH Keywords

Archimedean copulasmultinomial probit modelmultinomial logit modelmultinomial choice modelnested Archimedean copulas

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Uses Software

• nacopula

Cites Work

• Unnamed Item
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• A review of copula models for economic time series
• Efficiently sampling nested Archimedean copulas
• An introduction to copulas.
• Copula Modeling: An Introduction for Practitioners
• Discrete Choice Methods with Simulation
• Generalized Econometric Models with Selectivity
• Sample Selection Bias as a Specification Error
• Modelling sample selection using Archimedean copulas
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• Properties of hierarchical Archimedean copulas
• A stochastic representation and sampling algorithm for nested Archimedean copulas

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