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Re: st: Exclusion restriction with mprobit

From   Maarten Buis <>
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 L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
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