Fractional Multinomial Response Models With An Application To Expenditure Shares
AbstractThe research presented here considers the performance of the Fractional Multinomial Logit (FMNL) model in explaining expenditure shares using data from the 2005/06 South African Income and Expenditure Survey. The results suggest that the FMNL performs favourably, when the dataset is large enough, but that it does not perform as well, when the dataset is limited. Expenditure elasticities were also estimated, and compared to the expenditure shares from a QUAIDS model. The resulting expenditure shares are fairly similar across model specification; however, the FMNL model does incorporate additional curvature, which is easily observed when comparing the QUAIDS elasticities to the FMNL elasticities.
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Bibliographic InfoPaper provided by University of Pretoria, Department of Economics in its series Working Papers with number 201021.
Length: 27 pages
Date of creation: Oct 2010
Date of revision:
Expenditure Shares; Multinomial Fractional Logit.;
This paper has been announced in the following NEP Reports:
- NEP-AFR-2010-10-23 (Africa)
- NEP-ALL-2010-10-23 (All new papers)
- NEP-DCM-2010-10-23 (Discrete Choice Models)
- NEP-ECM-2010-10-23 (Econometrics)
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- John Mullahy, 2011.
"Multivariate Fractional Regression Estimation Of Econometric Share Models,"
201133, Geary Institute, University College Dublin.
- John Mullahy, 2010. "Multivariate Fractional Regression Estimation of Econometric Share Models," NBER Working Papers 16354, National Bureau of Economic Research, Inc.
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