The Multinomial Probit Model Revisited: A Discussion of Parameter Estimability, Identification and Specification Testing
结合模拟推断的最新进展，讨论多项Probit模型的设定、参数可估计性、识别问题及设定检验，指出尽管模拟概率替代多维积分是进步，但模型设定与估计仍具挑战。
In this paper we examine the multinomial probit model in the light of recent developments in the field of simulation‐based inference. We focus upon five broad areas: specification of multinomial choice models; parameter estimability and the use of simulation techniques, parameter identification; specification testing; and practical issues in simulation‐based inference. Although the substitution of simulated probabilities for difficult to compute multidimensional integrals represents a significant step, by examining the more tenuous task of identification and in particular the identification of covariance parameters, we show how the specification and estimation of the multinomial probit still represents a formidable task.