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Comment: Bayesian multinomial probit models with a normalization constraint

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Comment: Bayesian multinomial probit models with a normalization constraint. / Nobile, Agostino.

In: Journal of Econometrics, Vol. 99, No. 2, 12.2000, p. 335 - 345.

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Harvard

Nobile, A 2000, 'Comment: Bayesian multinomial probit models with a normalization constraint', Journal of Econometrics, vol. 99, no. 2, pp. 335 - 345. https://doi.org/10.1016/S0304-4076(00)00035-X

APA

Nobile, A. (2000). Comment: Bayesian multinomial probit models with a normalization constraint. Journal of Econometrics, 99(2), 335 - 345. https://doi.org/10.1016/S0304-4076(00)00035-X

Vancouver

Nobile A. Comment: Bayesian multinomial probit models with a normalization constraint. Journal of Econometrics. 2000 Dec;99(2):335 - 345. https://doi.org/10.1016/S0304-4076(00)00035-X

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Nobile, Agostino. / Comment: Bayesian multinomial probit models with a normalization constraint. In: Journal of Econometrics. 2000 ; Vol. 99, No. 2. pp. 335 - 345.

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@article{b1ba352cd74e4cbeb8c3c4da9a73b6a6,
title = "Comment: Bayesian multinomial probit models with a normalization constraint",
abstract = "McCulloch, Polson and Rossi (2000) have proposed a prior for the Bayesian analysis of the multinomial probit model which incorporates the identification (or normalization) constraint σ11=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.",
keywords = "Identification, Inverted Wishart distribution, Wishart distribution",
author = "Agostino Nobile",
year = "2000",
month = "12",
doi = "10.1016/S0304-4076(00)00035-X",
language = "English",
volume = "99",
pages = "335 -- 345",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "2",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Comment: Bayesian multinomial probit models with a normalization constraint

AU - Nobile, Agostino

PY - 2000/12

Y1 - 2000/12

N2 - McCulloch, Polson and Rossi (2000) have proposed a prior for the Bayesian analysis of the multinomial probit model which incorporates the identification (or normalization) constraint σ11=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.

AB - McCulloch, Polson and Rossi (2000) have proposed a prior for the Bayesian analysis of the multinomial probit model which incorporates the identification (or normalization) constraint σ11=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.

KW - Identification

KW - Inverted Wishart distribution

KW - Wishart distribution

U2 - 10.1016/S0304-4076(00)00035-X

DO - 10.1016/S0304-4076(00)00035-X

M3 - Article

VL - 99

SP - 335

EP - 345

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 2

ER -