Z-Tests in multinomial probit models under simulated maximum likelihood estimation: some small sample properties

Abstract

This paper analyzes small sample properties of several versions of z-tests in multinomial probit models under simulated maximum likelihood estimation. OurMonte Carlo experiments show that z-tests on utility function coefficients provide more robust results than z-tests on variance covariance parameters. As expected, both the number of observations and the number of random draws in the incorporatedGeweke-Hajivassiliou-Keane (GHK) simulator have on average a positive impact on the conformities between the shares of type I errors and the Show more