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Ordered logit analysis for selectively sampled data

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Author Info
D. Fok ()
P.H.B.F. Franses ()
J.S. Cramer () (FEW-Econometrie en besliskunde)

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Abstract

When customers are classified into ordered categories, which are defined from the outset, it may happen that the majority belongs to a single category. If a market researcher is interested in the correlation between the classification and individual characteristics, the natural question is whether one needs to collect data for all customers in that particular category. We address this question for the ordered logit model. We show that there is no need to consider all those customers. All that is required is a simple modification of the log-likelihood, which is based on Bayes' rule. We illustrate our proposed method on simulated data and on data concerning risk profiles of customers of an investment bank.

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File URL: http://www.eur.nl/WebDOC/doc/econometrie/feweco19990907114919.pdf
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Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number 159.

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Date of creation: 1999
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Handle: RePEc:dgr:eureir:1999159

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Related research
Keywords: ordered logit model selective sampling Bayes' rule;

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  1. Franses, Ph.H.B.F. & Slagter, E. & Cramer, J.S., 1999. "Censored regression analysis in large samples with many zero observations," Econometric Institute Report EI 9939-A Revision_Date: , Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Fidrmuc, J.P. & Roosenboom, P.G.J. & Dijk, D.J.C. van, 2007. "When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?," Research Paper ERS-2007-028-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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