What can we learn about correlations from multinomial probit estimates?

Chiara Monfardini () and João M.C. Santos Silva ()

Economics Bulletin, 2008, vol. 3, issue 28, pages 1-9

Abstract: It is well known that, in a multinomial probit, only the covariance matrix of the location and scale normalized utilities are identified. In this note, we explore the relation between these identifiable parameters and the original elements of the covariance matrix, to find out what can be learnt about the correlations between the stochastic components of the non-normalized utilities.

Keywords: Equicorrelation; Identification; Normalization (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2008-05-21
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http://economicsbulletin.vanderbilt.edu/2008/volume3/EB-08C20028A.pdf (application/pdf)

Related works:
Working Paper: What can we learn about correlations from multinomial probit estimates? (2006)
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