This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Zur Simulated Maximum-Likelihood-Schätzung von Mehrperioden-Mehralternativen-Probitmodellen

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ziegler, Andreas
Eymann, Angelika (Institut für Volkswirtschaft und Statistik (IVS))
Abstract

Die Simulated Maximum-Likelihood-Methode erlaubt die Schätzung von multinomialen Probitmodellen für Querschnitts- oder Paneldaten bei einer größeren Zahl von Entscheidungsalternativen. Im Rahmen von Monte-Carlo-Studien wird hier gezeigt, daß die Simulated Maximum-Likelihood-Methode bei Anwendung des Geweke-Hajivassiliou-Keane-Simulators auch für eine relativ geringe Anzahl an Zufallsziehungen zu exakten Schätzern der Koeffizienten der erklärenden Variablen im Mehrperioden-Mehralternativen-Probitmodell führt. Die Präzision der Schätzung der Varianz-Kovarianz-Parameter scheint dagegen sensitiv bezüglich der Größe der individuellen Auswahlwahrscheinlichkeiten, d.h. bezüglich der Anzahl der Entscheidungsalternativen und der Panelwellen zu sein. In einem einperiodigen Mehralternativen-Probitmodell lassen sich die Varianz-Kovarianz-Parameter relativ exakt bestimmen. Die Schätzgenauigkeit der Varianz-Kovarianz-Parameter im Mehrperioden-Mehralternativen-Probitmodell scheint dagegen mit zunehmender Anzahl der Perioden und Alternativen zu sinken.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.mea.uni-mannheim.de/cdyllick/ivs/discussionpapers/588.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Samir Chaturvedi)
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim in its series IVS discussion paper series with number 588.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation:
Date of revision:
Handle: RePEc:mea:ivswpa:588

Contact details of provider:
Postal: Institut für Volkswirtschaft und Statistik, L7, 3-5, Room 408, University of Mannheim, 68131 Mannheim
Phone: +49/621/181.1861
Fax: +49/621/181.1863
Web page: http://www.vwl.uni-mannheim.de/institut

For technical questions regarding this item, or to correct its listing, contact: (Samir Chaturvedi).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
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. Axel Borsch-Supan & Vassilis Hajivassiliou & Laurence J. Kotlikoff & John N. Morris, 1990. "Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors," NBER Working Papers 3343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Bolduc, Denis, 1992. "Generalized autoregressive errors in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 26(2), pages 155-170, April. [Downloadable!] (restricted)
  3. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September. [Downloadable!] (restricted)
    Other versions:
  4. Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307. [Downloadable!] (restricted)
  5. Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September. [Downloadable!] (restricted)
    Other versions:
  6. Luigi Guiso & Tullio Jappelli, 2000. "Household Portfolios in Italy," CSEF Working Papers 43, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
    Other versions:
  7. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 225-38, January. [Downloadable!] (restricted)
  8. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134. [Downloadable!] (restricted)
    Other versions:
  9. Lee, Lung-Fei, 1995. "Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 437-483, June. [Downloadable!]
  10. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470. [Downloadable!]
  11. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January. [Downloadable!] (restricted)
  12. McFadden, Daniel L., 1984. "Econometric analysis of qualitative response models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 24, pages 1395-1457 Elsevier. [Downloadable!] (restricted)
  13. Jain, Dipak C & Vilcassim, Naufel J & Chintagunta, Pradeep K, 1994. "A Random-Coefficients Logit Brand-Choice Model Applied to Panel Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 317-28, July.
  14. repec:cup:etheor:v:11:y:1995:i:3:p:437-83 is not listed on IDEAS
  15. Bolduc, Denis & Lacroix, Guy & Muller, Christophe, 1996. "The choice of medical providers in rural Benin: A comparison of discrete choice models," Journal of Health Economics, Elsevier, vol. 15(4), pages 477-498, August. [Downloadable!] (restricted)
    Other versions:
  16. Geweke, John & Keane, Michael P & Runkle, David, 1994. "Alternative Computational Approaches to Inference in the Multinomial Probit Model," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 609-32, November. [Downloadable!] (restricted)
    Other versions:
  17. Dansie, B. R., 1985. "Parameter estimability in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 19(6), pages 526-528, December. [Downloadable!] (restricted)
  18. Harris, Katherine M. & Keane, Michael P., 1998. "A model of health plan choice:: Inferring preferences and perceptions from a combination of revealed preference and attitudinal data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 131-157, November. [Downloadable!] (restricted)
  19. Eymann, Angelika & Ronning, Gerd, 1997. "Microeconometric models of tourists' destination choice," Regional Science and Urban Economics, Elsevier, vol. 27(6), pages 735-761, November. [Downloadable!] (restricted)
  20. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier. [Downloadable!] (restricted)
  21. Daniel McFadden, 1977. "Modelling the Choice of Residential Location," Cowles Foundation Discussion Papers 477, Cowles Foundation, Yale University. [Downloadable!]
  22. Carol Bertaut & Martha Starr-McCluer, 2000. "Household portfolios in the United States," Finance and Economics Discussion Series 2000-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  23. Weeks, Melvyn, 1995. "Circumventing the Curse of Dimensionality in Applied Work Using Computer Intensive Methods," Economic Journal, Royal Economic Society, vol. 105(429), pages 520-30, March. [Downloadable!] (restricted)
  24. Bunch, David S., 1991. "Estimability in the multinomial probit model," Transportation Research Part B: Methodological, Elsevier, vol. 25(1), pages 1-12, February. [Downloadable!] (restricted)
  25. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? Citation analysis on IDEAS includes online papers that are freely accessible and whose text could be automatically analyzed, currently about 210000 papers.

This page was last updated on 2009-11-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.