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The Statistical Relationship between Bivariate and Multinomial Choice Models


Type

Working Paper

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Authors

Weeks, Melvyn 
Orne, Chris 

Abstract

The authors demonstrate the conditions under which the bivariate probit model can be considered a special case of the more general multinomial probit model. Since the attendant parameter restrictions produce a singular covariance matrix, the subsequent problems of testing on the boundary of the parameter space are circumvented by the construction of a score test.

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Keywords

discrete choice, bivariate probit, multinomial probit, nested choice models

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Publisher

Faculty of Economics

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