The estimation of generalized extreme value models from choice-based samples
In the presence of choice-based sampling strategies for data collection, the property of multinomial logit (MNL) models, that consistent estimates of all parameters but the constants can be obtained from an exogenous sample maximum likelihood (ESML) estimation, does not hold in general for generalized extreme value (GEV) models. We propose a consistent ESML estimator for GEV models in this context. We first identify a specific class of GEV models with the desired property that, similarly to MNL, the constants absorb the potential bias. We then propose a new and simple weighted conditional maximum likelihood (WCML) estimator for the more general case. Contrarily to the weighted exogenous sample maximum likelihood (WESML) estimator by Manski and Lerman [Manski, C., Lerman, S., 1977. The estimation of choice probabilities from choice-based samples. Econometrica 45, 1977-1988], the new WCML estimator does not require an external knowledge of the market shares. We show that this applies also to the case where alternatives are sampled from a large choice set, and we illustrate the use of the estimator on synthetic and real data.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 42 (2008)
Issue (Month): 4 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/548/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
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.:
- Imbens, G.W., 1990.
"An Efficient Method Of Moments Estimator For Descrete Choice Models With Choice-Based Sampling,"
9009, Tilburg - Center for Economic Research.
- Imbens, Guido W, 1992. "An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling," Econometrica, Econometric Society, vol. 60(5), pages 1187-1214, September.
- Imbens, G.W., 1990. "An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling," Discussion Paper 1990-9, Tilburg University, Center for Economic Research.
- Imbens, G.W., 1991. "An Efficient Method Of Moments Estimator For Discrete Choice Models With Choice-Based Sampling," Harvard Institute of Economic Research Working Papers 1546, Harvard - Institute of Economic Research.
- Monfort, Alain, 1992.
"Exogenous and Endogenous Sampling,"
Cambridge University Press, vol. 8(03), pages 427-428, September.
- White, Halbert, 1987. "A Misspecified Model," Econometric Theory, Cambridge University Press, vol. 3(02), pages 306-306, April.
- Monfort, Alain, 1996. "A Reappraisal of Misspecified Econometric Models," Econometric Theory, Cambridge University Press, vol. 12(04), pages 597-619, October.
- Daly, Andrew & Bierlaire, Michel, 2006. "A general and operational representation of Generalised Extreme Value models," Transportation Research Part B: Methodological, Elsevier, vol. 40(4), pages 285-305, May.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Morgenthaler, S. & Vardi, Y., 1986. "Choice-based samples : A non-parametric approach," Journal of Econometrics, Elsevier, vol. 32(1), pages 109-125, June.
- Manski, Charles F & Lerman, Steven R, 1977. "The Estimation of Choice Probabilities from Choice Based Samples," Econometrica, Econometric Society, vol. 45(8), pages 1977-1988, November.
When requesting a correction, please mention this item's handle: RePEc:eee:transb:v:42:y:2008:i:4:p:381-394. 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: (Dana Niculescu)
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.