The Multinomial Multiperiod Probit Model : Identification and Efficient Estimation

@inproceedings{Richard2007TheMM,
  title={The Multinomial Multiperiod Probit Model : Identification and Efficient Estimation},
  author={Jean-François Richard},
  year={2007}
}
In this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models. It is shown in particular that the standard autoregressive specification used in the literature can be interpreted as a latent common factor model. However, this specification is not invariant with respect to the selection of the baseline… CONTINUE READING