Estimation command asmprobit fits multinomial probit (MNP) models to categorical data and is frequently used in choice-based modeling. asmprobit allows several correlation structures for the alternatives, including completely unstructured, where all possible correlations are estimated. It also allows for either heteroskedastic or homoskedastic variances among the alternatives and allows arbitrary patterns within the alternative variances or correlations. asmprobit’s syntax makes specifying both case-specific and alternative-in-case-specific regressors easy.
In addition to common postestimation commands, command estat provides additional statistics and results:
Predicted statistics after asmprobit include the linear predictor, the probability an alternative is selected, and the standard error of the linear predictor.
Estimation command mprobit also fits multinomial probit models to categorical data but in the simplified situation of having only case-specific covariates (as with the multinomial logistic regression, mlogit). Maximizing the likelihood is much faster in such cases because the numerical approximation to the likelihood is simpler. See [R] mprobit