A Bayesian analysis of the multinomial probit model with fully identified parameters

被引：141
|
作者：
McCulloch, RE [1 ]
Polson, NG [1 ]
Rossi, PE [1 ]
机构：
[1] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA
来源：
JOURNAL OF ECONOMETRICS | 2000年 / 99卷 / 01期
关键词：
probit models; Bayesian analysis; priors;
D O I：
10.1016/S0304-4076(00)00034-8
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We present a new prior and corresponding algorithm for Bayesian analysis of the multinomial probit model. Our new approach places a prior directly on the identified parameter space. The key is the specification of a prior on the covariance matrix so that the (1,1) element if fixed at 1 and it is possible to draw from the posterior using standard distributions. Analytical results are derived which can be used to aid in assessment of the prior. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C11; C25; C33; C35.
引用
收藏
页码：173 / 193
页数：21
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