Advanced Search
MyIDEAS: Login

Bayesian Analysis of Nested Logit Model by Markov Chain Monte Carlo

Contents:

Author Info

  • Kajal Lahiri
  • Jian Gao

Abstract

We develop a Markov Chain Monte Carlo (MCMC) algorithm for estimating nested logit models in a Bayesian framework. Appropriate "heating target" and reparameterization techniques are adopted for fast mixing. For illustrative purposes, we have implemented the algorithm on two real-life examples involving 3-level structures. The first example involves Social Security's disability determination process, Lahiri et al. (1995). The second one is taken from Amemiya and Shimono's (1989) model of labor supply behavior of the aged. We applied a combination of various convergence criteria to ensure that the chain has converged to its target distribution.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. 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.albany.edu/economics/research/workingp/2001/isba5.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University at Albany, SUNY, Department of Economics in its series Discussion Papers with number 01-14.

as in new window
Length:
Date of creation: 2001
Date of revision:
Handle: RePEc:nya:albaec:01-14

Contact details of provider:
Postal: Department of Economics, BA 110 University at Albany State University of New York Albany, NY 12222 U.S.A.
Phone: (518) 442-4735
Fax: (518) 442-4736

Order Information:
Postal: Department of Economics, BA 110 University at Albany State University of New York Albany, NY 12222 U.S.A.
Email:
Web: http://www.albany.edu/economics/research/workingp/index.shtml

Related research

Keywords: Discrete Choice; Random Utility Maximization; MCMC; Mixing Speed.;

Other versions of this item:

References

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.:
as in new window
  1. Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, EconWPA, revised 24 Oct 1994.
  2. Kling, Catherine L. & Thomson, Cynthia J., 1996. "Implications of Model Specification for Welfare Estimation in Nested Logit Models (The)," Staff General Research Papers 1599, Iowa State University, Department of Economics.
  3. Koning, Ruud H. & Ridder, Geert, 1994. "On the compatibility of nested logit models with utility maximization : A comment," Journal of Econometrics, Elsevier, vol. 63(2), pages 389-396, August.
  4. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
  5. Herriges, Joseph A. & Kling, Catherine L., 1996. "Testing the consistency of nested logit models with utility maximization," Economics Letters, Elsevier, vol. 50(1), pages 33-39, January.
  6. Koop, Gary & Poirier, Dale J., 1993. "Bayesian analysis of logit models using natural conjugate priors," Journal of Econometrics, Elsevier, vol. 56(3), pages 323-340, April.
  7. John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
  8. Hensher, David A, 1986. "Sequential and Full Information Maximum Likelihood Estimation of a Nested Logit Model," The Review of Economics and Statistics, MIT Press, vol. 68(4), pages 657-67, November.
  9. Cameron, Trudy Ann, 1985. "A Nested Logit Model of Energy Conservation Activity by Owners of Existing Single Family Dwellings," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 205-11, May.
  10. Siddhartha Chib & Edward Greenberg & Yuxin Chen, 1998. "MCMC Methods for Fitting and Comparing Multinomial Response Models," Econometrics 9802001, EconWPA, revised 06 May 1998.
  11. McFadden, Daniel, 1980. "Econometric Models for Probabilistic Choice among Products," The Journal of Business, University of Chicago Press, vol. 53(3), pages S13-29, July.
  12. Falaris, Evangelos M, 1987. "A Nested Logit Migration Model with Selectivity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 429-43, June.
  13. Poirier, Dale J., 1996. "A Bayesian analysis of nested logit models," Journal of Econometrics, Elsevier, vol. 75(1), pages 163-181, November.
  14. Kling, Catherine L. & Herriges, Joseph A., 1995. "Empirical Investigation of the Consistency of Nested Logit Models with Utility Maximization (An)," Staff General Research Papers 1499, Iowa State University, Department of Economics.
  15. Borsch-Supan, Axel, 1990. "On the compatibility of nested logit models with utility maximization," Journal of Econometrics, Elsevier, vol. 43(3), pages 373-388, March.
  16. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
  17. Brownstone, David & Small, Kenneth A, 1989. "Efficient Estimation of Nested Logit Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 67-74, January.
  18. Train, Kenneth, 1980. "A Structured Logit Model of Auto Ownership and Mode Choice," Review of Economic Studies, Wiley Blackwell, vol. 47(2), pages 357-70, January.
  19. Matthews, Peter, 1993. "A slowly mixing Markov chain with implications for Gibbs sampling," Statistics & Probability Letters, Elsevier, vol. 17(3), pages 231-236, June.
  20. Catherine L. Kling & Cynthia J. Thomson, 1996. "The Implications of Model Specification for Welfare Estimation in Nested Logit Models," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(1), pages 103-114.
  21. Jianting Hu & Kajal Lahiri & Denton R. Vaughan & Bernard Wixon, 2001. "A Structural Model Of Social Security'S Disability Determination Process," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 348-361, May.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Sergio Aquino de Souza, 2011. "A Simplified Mixed Logit Demand Model with an Application to the Simulation of Entry," Working Papers 04-2011, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  2. Sergio Aquino de Souza, 2008. "Combining Prior Information and Data to Uncover the Parameters from the Random Coefficient Discrete? Choice Demand Model," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211342080, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  3. Gary Koop, 2004. "Modeling the Evolution of Distributions: An Application to Major League Baseball," ESE Discussion Papers 71, Edinburgh School of Economics, University of Edinburgh.
  4. Maria Jos� Gil-Molt� & Arne Risa Hole, 2003. "Tests for the consistency of three-level nested logit models with utility maximization," Discussion Paper Series, Department of Economics 200313, Department of Economics, University of St. Andrews.
  5. Verlinda, Jeremy A., 2005. "A Bayesian analysis of tree structure specification in nested logit models," Economics Letters, Elsevier, vol. 87(1), pages 67-73, April.
  6. Haijime Katayama & Shihua Lu & James Tybout, 2003. "Why Plant-Level Productivity Studies are Often Misleading, and an Alternative Approach to Interference," NBER Working Papers 9617, National Bureau of Economic Research, Inc.
  7. Katayama, Hajime & Lu, Shihua & Tybout, James R., 2009. "Firm-level productivity studies: Illusions and a solution," International Journal of Industrial Organization, Elsevier, vol. 27(3), pages 403-413, May.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nya:albaec:01-14. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John Bailey Jones).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.