Comparison of Parametric and Semi-Parametric Binary Response Models
A Bayesian semi-parametric estimation of the binary response model using Markov Chain Monte Carlo algorithms is proposed. The performances of the parametric and semi-parametric models are presented. The mean squared errors, receiver operating characteristic curve, and the marginal effect are used as the model selection criteria. Simulated data and Monte Carlo experiments show that unless the binary data is extremely unbalanced the semi-parametric and parametric models perform equally well. However, if the data is extremely unbalanced the maximum likelihood estimation does not converge whereas the Bayesian algorithms do. An application is also presented.
|Date of creation:||12 Jul 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (732) 932-7363
Fax: (732) 932-7416
Web page: http://snde.rutgers.edu/Rutgers/wp/rutgers-wplist.html
More information through EDIRC
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.:
- Ludwig Fahrmeir & Stefan Lang, 2001. "Bayesian Semiparametric Regression Analysis of Multicategorical Time-Space Data," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 11-30, March.
- Roger Klein & Francis Vella, 2009.
"A semiparametric model for binary response and continuous outcomes under index heteroscedasticity,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 24(5), pages 735-762.
- Klein, Roger & Vella, Francis, 2006. "A Semiparametric Model for Binary Response and Continuous Outcomes Under Index Heteroscedasticity," IZA Discussion Papers 2383, Institute for the Study of Labor (IZA).
- Hutchens, Robert M, 1989. "Seniority, Wages and Productivity: A Turbulent Decade," Journal of Economic Perspectives, American Economic Association, vol. 3(4), pages 49-64, Fall.
- Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
- Klein, R.W. & Spady, R.H., 1991.
"An Efficient Semiparametric Estimator for Binary Response Models,"
70, Bell Communications - Economic Research Group.
- Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
- Kottas A. & Gelfand A.E., 2001. "Bayesian Semiparametric Median Regression Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1458-1468, December.
- Ludwig Fahrmeir & Alexander Raach, 2007. "A Bayesian Semiparametric Latent Variable Model for Mixed Responses," Psychometrika, Springer, vol. 72(3), pages 327-346, September.
When requesting a correction, please mention this item's handle: RePEc:rut:rutres:201308. 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: ()
If references are entirely missing, you can add them using this form.