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Multinomial Probit : Probability Simulators and Identification
Palandri, Alessandro - 2019
The paper introduces four unbiased probability-simulators which produce continuous (simulated) log-likelihood functions with almost everywhere continuous derivatives. Identification conditions are derived which show that in the presence of intercepts in the latent utilities, then the shocks'...
Persistent link: https://www.econbiz.de/10012858456
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Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
Kristensen, Dennis - 2008
We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our … method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed … dynamic models that this nonparametric simulated maximum likelihood (NPSML) estimator is consistent and asymptotically …
Persistent link: https://www.econbiz.de/10012722610
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Alternative measures of the explanatory power of multivariate probit models with continuous or ordinal responses
Spiess, Martin; Tutz, Gerhard - 2002
In this paper R2-type measures of the explanatory power of multivariate linear and categorical probit models proposed … indifferent to components not explicitely modeled. Based on this view three different measures for multivariate probit models are … proposed. Results of a simulation study are presented designed to compare two measures in various situations and evaluate the …
Persistent link: https://www.econbiz.de/10010260799
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The Multinomial Multiperiod Probit Model: Identification and Efficient Estimation
Liesenfeld, Roman; Richard, Jean-François - 2007
In this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models …
Persistent link: https://www.econbiz.de/10010296290
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Bias and Efficiency of Single vs Double Bound Models for Contingent Valuation Studies.A Monte Carlo Analysis
Calia, Pinuccia; Strazzera, Elisabetta - 1999
. We find that there are no relevant differences in point estimates given by the two models, even for small sample size …
Persistent link: https://www.econbiz.de/10011608474
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Bias and Efficiency of Single vs Double Bound Models for Contingent Valuation Studies : A Monte Carlo Analysis
Calia, Pinuccia; Strazzera, Elisabetta - 1999
. We find that there are no relevant differences in point estimates given by the two models, even for small sample size …
Persistent link: https://www.econbiz.de/10014196433
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Multivariate Pascal Mixture Regression Models for Correlated Claim Frequencies
Tang, Dameng - 2016
proposed class of regression models is not only less complex but can account for more versatile dependence structures and still … allow for an intuitive explanation. We examine some of the properties possessed by this class of regression models and show … its connections to several other models. For fitting purposes, we use the expectation-maximization (EM) algorithm which we …
Persistent link: https://www.econbiz.de/10013004565
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The Econometric Discrete Dependent Variable Multinomial Logit Model 'An Application on a Local Furniture Market Enterprise'
Giovanis, Eleftherios - 2009
This paper examines the consumers' preferences to the local furniture market in the Province of Serres. We apply a multinomial logit model to investigate the probability of buying a furniture in the following four-monthly period. We analyze also the demographic characteristics and we conclude...
Persistent link: https://www.econbiz.de/10013153162
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On the applicability of maximum likelihood methods : from experimental to financial data
Jakusch, Sven Thorsten - 2016
frequently used nonlinear probit model in the style of Hey and Orme (1994) and base our analysis on a simulation stud. In detail …, we simulate trading sequences for a set of utility models and try to identify the underlying utility model and its … parameterization used to generate these sequences by maximum likelihood. We find that for a very broad classification of utility models …
Persistent link: https://www.econbiz.de/10011539677
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Alternative measures of the explanatory power of multivariate probit models with continuous or ordinal responses
Spieß, Martin; Tutz, Gerhard - 2002
In this paper R2-type measures of the explanatory power of multivariate linear and categorical probit models proposed … indifferent to components not explicitely modeled. Based on this view three different measures for multivariate probit models are … proposed. Results of a simulation study are presented designed to compare two measures in various situations and evaluate the …
Persistent link: https://www.econbiz.de/10011436274