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Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors

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Author Info
Axel Borsch-Supan
Vassilis Hajivassiliou
Laurence J. Kotlikoff
John N. Morris

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Abstract

This paper develops a general multiperiod-multinomial probit model for panel data to estimate the living arrangements of the elderly. The model has the following features:

(a) In each period choices do not necessarily obey the assumption of independence of irrelevant alternatives.

(b) Unobserved person-specific attributes are treated as random effects. These random effects may also be correlated across alternatives.

(c) In addition, unobserved choice-specific utility components may persist over some time, creating an autoregressive and/or heteroscedastic error structure.

The model is estimated by simulating the choice probabilities in the likelihood function. We examine several variants of the specification of the correlation structure and investigate the extent the biases created by ignoring intertemporal correlations.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 3343.

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Date of creation: Apr 1990
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Publication status: published relationship to a non-chapter. This should not happen. Please contact NBER.
Handle: RePEc:nbr:nberwo:3343

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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. Laurence J. Kotlikoff & John N. Morris, 1989. "How Much Care Do the Aged Receive from Their Children? A Bimodal Picture of Contact and Assistance," NBER Working Papers 2391, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. 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)
  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. V A Hajivassiliou & DL McFadden, 1997. "The Method of Simulated Scores for the Estimation of LDV Models," STICERD - Econometrics Paper Series /1997/328, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    Other versions:
  5. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September. [Downloadable!] (restricted)
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Cited by:
(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. Joachim Inkmann, 2001. "Accounting for Nonresponse Heterogeneity in Panel Data," CoFE Discussion Paper 01-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  2. repec:cep:sticas:0104 is not listed on IDEAS
  3. Bai, Junfei & Wahl, Thomas I. & McCluskey, Jill J., 2006. "Segmentation of Retail Food Store Formats in Qingdao, China," 2006 Annual meeting, July 23-26, Long Beach, CA 21233, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  4. Martin Burda & Roman Liesenfeld & Jean-Francois Richard, 2008. "Bayesian Analysis of a Probit Panel Data Model with Unobserved Individual Heterogeneity and Autocorrelated Errors," Working Papers tecipa-321, University of Toronto, Department of Economics. [Downloadable!]
  5. Gary V. Engelhardt & Jonathan Gruber & Cynthia D. Perry, 2002. "Social Security and Elderly Living Arrangements," NBER Working Papers 8911, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Ziegler, Andreas & Eymann, Angelika, . "Zur Simulated Maximum-Likelihood-Schätzung von Mehrperioden-Mehralternativen-Probitmodellen," IVS discussion paper series 588, Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim. [Downloadable!]
  7. Algers, Staffan & Bergström, Pål & Dahlberg, Matz & Lindqvist Dillén, Johanna, 1998. "Mixed Logit Estimation of the Value of Travel Time," Working Paper Series 1998:15, Uppsala University, Department of Economics. [Downloadable!]
    Other versions:
  8. Naoko Shinkai, 2000. "¿De qué manera la seguridad social y el ingreso repercuten en los arreglos de vida de los ancianos? Elementos de juicio de las reformas de México y Uruguay," RES Working Papers 4232, Inter-American Development Bank, Research Department. [Downloadable!]
  9. Ziegler, Andreas R., 2001. "Simulated z-tests in multinomial probit models," ZEW Discussion Papers 01-53, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  10. Ziegler, Andreas, 2002. "Simulated Classical Tests in the Multiperiod Multinomial Probit Model," ZEW Discussion Papers 02-38, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  11. Sònia Muñoz, 2006. "Habit Formation and Persistence in Individual Asset Portfolio Holdings: The Case of Italy," IMF Working Papers 06/29, International Monetary Fund. [Downloadable!]
  12. Naoko Shinkai, 2000. "How Do Social Security and Income Affect the Living Arrangements of the Elderly? Evidence from Reforms in Mexico and Uruguay," RES Working Papers 4231, Inter-American Development Bank, Research Department. [Downloadable!]
  13. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133. [Downloadable!]
  14. Ziegler, Andreas, . "Simulierte klassische Parameterschätzung in Probitmodellen," IVS discussion paper series 578, Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim. [Downloadable!]
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