Nonparametric vs parametric binary choice models: An empirical investigation
The estimation of conditional probability distribution functions (PDFs) in a kernel nonparametric framework has recently received attention. As emphasized by Hall, Racine & Li (2004), these conditional PDFs are extremely useful for a range of tasks including modelling and predicting consumer choice. The aim of this paper is threefold. First, we implement nonparametric kernel estimation of PDF with a binary choice variable and both continuous and discrete explanatory variables. Second, we address the issue of the performances of this nonparametric estimator when compared to a classic on-the-shelf parametric estimator, namely a probit. We propose to evaluate these estimators in terms of their predictive performances, in the line of the recent ”revealed performance” test proposed by Racine & Parmeter (2009). Third, we provide a detailed discussion of the results focusing on environmental insights provided by the two estimators, revealing some patterns that can only be detected using the nonparametric estimator.
(This abstract was borrowed from another version of this item.)
|Date of creation:||02 Sep 2011|
|Contact details of provider:|| Web page: http://www.eaae.org|
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- Li, Qi & Racine, Jeff, 2003. "Nonparametric estimation of distributions with categorical and continuous data," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 266-292, August.
- Christophe Bontemps & Céline Nauges, 2010.
"Carafe ou bouteille ? Le rôle de la qualité de l’environnement dans la décision du consommateur,"
INRA Sciences Sociales,
INRA Department of Economics, pages -.
- Christophe Bontemps & Céline Nauges, 2009. "Carafe ou bouteille ?. Le rôle de la qualité de l'environnement dans la décision du consommateur," Economie & Prévision, La Documentation Française, vol. 0(2), pages 61-79.
- Céline Nauges & Christophe Bontemps, 2009. "Carafe ou bouteille ? Le rôle de la qualité de l’environnement dans la décision du consommateur," Économie et Prévision, Programme National Persée, vol. 188(2), pages 61-79.
- BONTEMPS Christophe & NAUGES CÃ©line, 2006. "Carafe ou bouteille ? Le rÃ´le de la qualitÃ© de l'environnement dans la dÃ©cision du consommateur," LERNA Working Papers 06.07.200, LERNA, University of Toulouse.
- Pagan,Adrian & Ullah,Aman, 1999.
Cambridge University Press, number 9780521586115, October.
- Briesch R.A. & Chintagunta P.K. & Matzkin R.L., 2002. "Semiparametric Estimation of Brand Choice Behavior," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 973-982, December.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
- Peter Hall & Jeff Racine & Qi Li, 2004. "Cross-Validation and the Estimation of Conditional Probability Densities," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1015-1026, December.
- Jeffrey S. Racine & Christopher F. Parmeter, 2012. "Data-Driven Model Evaluation: A Test for Revealed Performance," Department of Economics Working Papers 2012-13, McMaster University.
- Hayfield, Tristen & Racine, Jeffrey S., 2008. "Nonparametric Econometrics: The np Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i05), pages -.
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