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st: Re: Multinomial probit


From   "Brendan Cushing-Daniels" <CushingDanielsB@GAO.GOV>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Multinomial probit
Date   Mon, 10 Jun 2002 14:58:38 -0400

The only thing I would add to this is that there have been some advances
made in this area using simulations.  Dan McFadden and Paul Ruud, UC
Berkeley and Hajivassiliou, London School of Economics, have done some
work here.  Last I checked (a couple of years ago), Hajivassiliou's web
page at LSE had some downloadable programs, too.

Brendan


>>> eric_jensen@wm.edu 06/10/02 09:50AM >>>
I don't think you'll find much.  There's really not much market for
multinomial probit, because it's computationally infeasible for more
than
three outcomes, and hard even to do three.  The reason is that its
likelihood is a (number of outcomes-1)-variate normal.  It's nice in
that it
doesn't require the IIA assumption of multinomial logit, so perhaps
someone
with a three-outcome problem who REALLY worried about IIA (and didn't
want
to use nested logit) has written something.  Actually, if you have the
little Stata book on ML programming, you could probably do a quick
three-outcome model by cribbing their bivariate probit example,
replacing
the normal stuff with bivariate normal.  It's not hard to write down,
just
hard for the computer to calculate.  You might also see Daganzo's book
on
probit for more on why not to do it.   EJ

-------------------------
Eric R. Jensen
Professor of  Economics
Box 8795, College of William and Mary
Williamsburg, VA 23187-8795
(757) 221-2384  Fax (757) 221-1175
home page: faculty.wm.edu/erjens

------------------------------

Date: Mon, 10 Jun 2002 10:34:43 +0700
From: "Daniel Muller" <mekongTOEB@dng.vnn.vn>
Subject: st: RE: multinomial probit

I asked the same question a while ago and was only pointed to a
multiVARIATE
Probit (-findit triprobit-). I still didn't find an ado for the
multiNOMIAL
case and would also appreciate a reference to one.

Greetings,
Daniel

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of M. Nizam
Khan
> Sent: Saturday, June 08, 2002 11:37 PM
> To: statalist@hsphsun2.harvard.edu 
> Subject: st: multinomial probit
>
>
> Dear statalisters,
>
> Does stata have any program to estimate multinomial probit?
>
>
> Thanks
>
>
> Nizam Khan



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