An exact likelihood analysis of the multinomial probit model

Robert McCulloch, Peter E. Rossi

Research output: Contribution to journalArticlepeer-review

276 Scopus citations

Abstract

We develop new methods for conducting a finite sample, likelihood-based analysis of the multinomial probit model. Using a variant of the Gibbs sampler, an algorithm is developed to draw from the exact posterior of the multinomial probit model with correlated errors. This approach avoids direct evaluation of the likelihood and, thus, avoids the problems associated with calculating choice probabilities which affect both the standard likelihood and method of simulated moments approaches. Both simulated and actual consumer panel data are used to fit six-dimensional choice models. We also develop methods for analyzing random coefficient and multiperiod probit models.

Original languageEnglish (US)
Pages (from-to)207-240
Number of pages34
JournalJournal of Econometrics
Volume64
Issue number1-2
DOIs
StatePublished - 1994
Externally publishedYes

Keywords

  • Bayesian analysis
  • Gibbs sampling
  • Multinomial probit model

ASJC Scopus subject areas

  • Economics and Econometrics

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