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Re: st: Exclusion restriction with mprobit


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Exclusion restriction with mprobit
Date   Wed, 2 Nov 2011 21:25:34 +0100

On Wed, Nov 2, 2011 at 9:06 PM, saqlain raza wrote:
> I am trying to use "mprobit" to estimate a multinomial probit model with four alternatives.
> As far as I know, what we need for identifying MNP model is some set of proper "exclusion
> restrictions," (as illustrated by Keane (1992)), not the suggested format of the data itself.

That is only necesary when your multinomial probit model includes
correlations between the different error terms. The -mprobit- command
in Stata sets these correlations at 0, imposing the equivalent of the
IAA assumption to a multinomial probit model. It is this assumption
that identifies the model rather than an exclusion restriction.

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------
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