A Bayesian analysis of the multinomial probit model with . . . (2000)
| Venue: | Journal of Econometrics |
| Citations: | 22 - 0 self |
BibTeX
@ARTICLE{McCulloch00abayesian,
author = {Robert McCulloch and Nicholas G. Polson and Peter E. Rossi},
title = {A Bayesian analysis of the multinomial probit model with . . .},
journal = {Journal of Econometrics},
year = {2000},
volume = {99},
pages = {173--193}
}
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Abstract
We present a new prior and corresponding algorithm for Bayesian analysis of the multinomial probit model. Our new approach places a prior directly on the identi"ed parameter space. The key is the speci"cation of a prior on the covariance matrix so that the (1,1) element if "xed at 1 and it is possible to draw from the posterior using standard distributions. Analytical results are derived which can be used to aid in assessment of the prior. # 2000 Elsevier Science S.A. All rights reserved.
