A Bayesian analysis of the multinomial probit model using marginal data augmentation

被引:133
作者
Imai, K [1 ]
van Dyk, DA
机构
[1] Princeton Univ, Dept Polit, Princeton, NJ 08544 USA
[2] Univ Calif Irvine, Dept Stat, Irvine, CA 92697 USA
基金
美国国家科学基金会;
关键词
Bayesian analysis; data augmentation; prior distributions; probit models; rate of convergence;
D O I
10.1016/j.jeconom.2004.02.002
中图分类号
F [经济];
学科分类号
02 [经济学];
摘要
We introduce a set of new Markov chain Monte Carlo algorithms for Bayesian analysis of the multinomial probit model. Our Bayesian representation of the model places a new, and possibly improper, prior distribution directly on the identifiable parameters and thus is relatively easy to interpret and use. Our algorithms, which are based on the method of marginal data augmentation, involve only draws from standard distributions and dominate other available Bayesian methods in that they are as quick to converge as the fastest methods but with a more attractive prior specification. C-code along with an R interface for our algorithms is publicly available.(1) (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码:311 / 334
页数:24
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