Cash Looi, Ruben Loaiza-Maya, Didier Nibbering
arXiv 11 Aug 2026 · Econometrics
arXiv:2608.10336 · PDF · Extracted main text
Standard multinomial probit (MNP) models specify symmetric latent utility distributions, implying that choice probabilities respond symmetrically to positive and negative covariate shifts of the same magnitude. This restriction is often implausible in empirical choice settings and can lead to misleading elasticity and substitution predictions. We propose a skewed multinomial probit (SMNP) model that captures asymmetric choice responses by specifying a multivariate skew-normal distribution for the latent utilities. The model preserves the flexible substitution patterns of the MNP framework, introduces alternative-specific skewness parameters, and nests the standard MNP model when skewness is zero. Introducing skewness creates identification and computational challenges because the skewness parameters interact with the MNP scale normalization and disrupt the conditional Gaussian updating structure used in Bayesian MNP estimation. We address these challenges through a covariance reparameterization that enforces identification and positive definiteness by construction, interpretable priors on the identified parameter space, and a double data-augmentation scheme that yields a Metropolis-Hastings within Gibbs sampler. Numerical experiments and applications to consumer choice data show that SMNP recovers asymmetric choice responses, improves probabilistic prediction, and produces economically meaningful differences in price elasticities and substitution patterns.
appendix boundary found by appendix_command · 67% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | McCulloch, Polson \ Rossi (2000) `A Bayesian analysis of the multinomial probit model with fully identified parameters', Journal of Econometrics 99(1), 173–193 | 0.737 | 4 | 4 | 50% |
| 2 | Frühwirth-Schnatter \ Pyne (2010) `Bayesian inference for finite mixtures of univariate and multivariate skew-normal and skew-t distributions', Biostatistics 11(2… | 0.737 | 3 | 3 | 67% |
| 3 | Albert \ Chib (1993) `Bayesian analysis of binary and polychotomous response data', Journal of the American Statistical Association 88(422), 669–679 | 0.644 | 2 | 2 | 100% |
| 4 | Biondi, Cornelsen, Mazzocchi \ Smith (2020) `Between preferences and references: Asymmetric price elasticities and the simulation of fiscal policies', Journal of Economic B… | 0.511 | 2 | 1 | 100% |
| 5 | Caputo, Lusk \ Nayga Jr (2018) `Choice experiments are not conducted in a vacuum: The effects of external price information on choice behavior', Journal of Eco… | 0.511 | 2 | 1 | 100% |
| 6 | Azzalini (2013) The multivariate skew-normal distribution, Institute of Mathematical Statistics Monographs, Cambridge University Press, p. 124–167 | 0.405 | 1 | 1 | 100% |
| 7 | Anceschi, Fasano, Durante \ Zanella (2023) `Bayesian conjugacy in probit, tobit, multinomial probit and extensions: A review and new results', Journal of the American Stat… | 0.405 | 1 | 1 | 100% |
| 8 | Azzalini \ Dalla Valle (1996) `The multivariate skew-normal distribution', Biometrika 83(4), 715–726 | 0.405 | 1 | 1 | 100% |
| 9 | Azzalini \ Capitanio (1999) `Statistical applications of the multivariate skew normal distribution', Journal of the Royal Statistical Society: Series B (Sta… | 0.405 | 1 | 1 | 100% |
| 10 | Bazán, Bolfarine \ Branco (2010) `A framework for skew-probit links in binary regression', Communications in Statistics—Theory and Methods 39(4), 678–697 | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 40 scored citations.