Comment: Bayesian multinomial probit models with a normalization constraint

被引：31

作者：

Nobile, A ^{[1
]}

机构：

[1] Univ Glasgow, Dept Stat, Glasgow G12 8QW, Lanark, Scotland

来源：

JOURNAL OF ECONOMETRICS | 2000年 / 99卷 / 02期

关键词：

identification; inverted Wishart distribution; Wishart distribution;

D O I：

10.1016/S0304-4076(00)00035-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

McCulloch, Poison and Rossi (2000), have proposed a Frier for the Bayesian analysis of the multinomial probit model which incorporates the identification (or normalization) constraint sigma(11) = 1. Some empirical evidence on the performance of the prior and related sampler is provided. Direct simulation from Wishart and inverted Wishart distributions, conditional on one of the elements on the diagonal, is then considered. This suggests an alternative way of imposing the normalization constraint in a Bayesian multinomial probit model. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification. C11; C15; C25; C35.

引用

页码：335 / 345

页数：11

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