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Chiara Monfardini and Joao Santos Silva
''What can we learn about correlations from multinomial probit estimates?''
( 2008, Vol. 3 No.28 )
It is well known that, in a multinomial probit, only the covariance matrix of the location and scale normalized utilities are identified. In this note, we explore the relation between these identifiable parameters and the original elements of the covariance matrix, to find out what can be learnt about the correlations between the stochastic components of the non-normalized utilities.
JEL: C2 - Single Equation Models; Single Variables: General
Manuscript Received : Mar 19 2008 Manuscript Accepted : May 21 2008

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