The dynamic invariant multinomial probit model: identification, pretesting and estimation

DOI10.1016/J.JECONOM.2009.09.021zbMath1431.62648OpenAlexW2033041911MaRDI QIDQ2630200

Jean-Francois Richard, Roman Liesenfeld

Publication date: 25 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.09.021

zbMATH Keywords

invariancepanel dataMonte Carlo integrationsimulated maximum likelihooddiscrete choiceefficient importance sampling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Efficient high-dimensional importance sampling
• Statistical inference in the multinomial multiperiod probit model
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• A Computationally Practical Simulation Estimator for Panel Data
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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