A new mixed MNP model accommodating a variety of dependent non-normal coefficient distributions
Chandra R. Bhat () and
Patrícia S. Lavieri ()
Additional contact information
Chandra R. Bhat: The University of Texas at Austin
Patrícia S. Lavieri: The University of Texas at Austin
Theory and Decision, 2018, vol. 84, issue 2, 239-275
Abstract In this paper, we propose a general copula approach to accommodate non-normal continuous mixing distributions in multinomial probit models. In particular, we specify a multivariate mixing distribution that allows different marginal continuous parametric distributions for different coefficients. A new hybrid estimation technique is proposed to estimate the model, which combines the advantageous features of each of the maximum simulated likelihood inference technique and Bhat’s maximum approximate composite marginal likelihood inference approach. The effectiveness of our formulation and inference approach is demonstrated through simulation exercises and an empirical application.
Keywords: Copula; Heterogeneity; MACML; Multinomial probit; Choice modeling (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s11238-017-9638-4 Abstract (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:theord:v:84:y:2018:i:2:d:10.1007_s11238-017-9638-4
Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/11238/PS2
Access Statistics for this article
Theory and Decision is currently edited by Mohammed Abdellaoui
More articles in Theory and Decision from Springer
Bibliographic data for series maintained by Sonal Shukla ().