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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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Analytical Prediction of Transitions Probabilities in the Conditional Logit Model
Bonin, Holger; Schneider, Hilmar - 2021
The paper derives analytical transitions probabilities following an exogenous shock to the deterministic component in the conditional logit model. The solution draws on the postestimation distribution of the model's stochastic component, identified on the basis of a direct utility maximization...
Persistent link: https://www.econbiz.de/10013319505
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Linking CGE and Microsimulation Models : A Comparison of Different Approaches
Giulia, Colombo - 2008
In the paper we describe in detail how to build linked CGE-microsimulation models (using fictitious data) following … the three models. Results show that all three approaches yield different results especially in terms of income … distribution and poverty, although analysed within the same economy and under the same policy simulation. We then analyse in more …
Persistent link: https://www.econbiz.de/10014047326
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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
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Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments
Eisenhauer, Philipp; Heckman, James J.; Mosso, Stefano - 2014
discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic …
Persistent link: https://www.econbiz.de/10010418037
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Nonlinear state-space models for microeconometric panel data
Heiss, Florian - 2006
most prevalent structures to account for intertemporal correlations in limited dependent variable models. An example from … models - and a broader class formulated in the framework of nonlinear state space models - hampers their widespread use. This … models and suggests that a straightforward algorithm based on sequential Gaussian quadrature can be expected to perform well …
Persistent link: https://www.econbiz.de/10010439378
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Qual VAR revisited : good forecast, bad story
Shagi, Makram el-; Schweinitz, Gregor von - 2012
Due to the recent financial crisis, the interest in econometric models that allow to incorporate binary variables (such …
Persistent link: https://www.econbiz.de/10009680970
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State dependence in a multi-state model of employment dynamics
Prowse, Victoria (contributor) - 2005
A multinomial choice framework is used to investigate the nature of women's transitions between full-time employment, part-time employment and non-employment. The stochastic framework allows time varying and time invariant unobserved preferences, and also controls for the possible endogeneity of...
Persistent link: https://www.econbiz.de/10002853341
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Testing Exogeneity in the Bivariate Probit Model : A Monte Carlo Study
Monfardini, Chiara - 2006
We conduct an extensive Monte Carlo experiment to examine the finite samples properties of maximum likelihood based inference in the bivariate probit model with endogenous dummy. We analyse the relative performance of alternative exogeneity tests, the impact of distributional misspecification...
Persistent link: https://www.econbiz.de/10012734261
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Philipp - 2014
discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic …
Persistent link: https://www.econbiz.de/10013045058