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on Discrete Choice Models |
| By: | Michael Dueker |
| Abstract: | A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more probit-type equation, such as vector autoregressions and estimated dynamic stochastic general equilibrium models. |
| Keywords: | Macroeconomics - Econometric models |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2005-057&r=dcm |
| By: | Joachim Wilde |
| Abstract: | Dagenais (1999) and Lucchetti (2002) have demonstrated that the naive GMM estimator of Grogger (1990) for the probit model with an endogenous regressor is not consistent. This paper completes their discussion by explaining the reason for the inconsistency and presenting a natural solution. Furthermore, the resulting GMM estimator is analyzed in a Monte-Carlo simulation and compared with alternative estimators. |
| Date: | 2005–09 |
| URL: | http://d.repec.org/n?u=RePEc:iwh:dispap:4-05&r=dcm |
| By: | Pierre Mohnen; Pierre Therrien |
| Abstract: | This paper compares pairwise the innovation performance of Canada with France and Germany, respectively. The comparison is based on two ordered probit models with sample selection, one where innovation is measured by the introduction of new-to-the firm products and one where it is measured by the introduction of new-to-the market products. The econometric analysis attempts to explain part of the country differences as the result of the sectoral composition of output, and the effects of size, environment conditions (proximity to basic research and competition) and innovation activities (internal R&D, the number of innovation activities, cooperation and government support). The Canadian firms benefit from being larger and more numerous in receiving government support, but suffer from a lack of competition and internal R&D. These structural effects combined, while informative, are not enough to explain a lot of the basic pattern of innovation revealed by the raw data. If we take the stronger measure of first-to-market innovation as a yardstick of innovation, the observed pairwise country differences are less strong, and our model explains a little bit more of the observed differences. <P>Cette étude compare les performances d’innovation entre le Canada et la France d’une part, et entre le Canada et l’Allemagne d’autre part. La comparaison repose sur deux modèles de probit ordonné avec sélection. Le premier mesure l’innovation par l’introduction sur le marché de produits nouveaux pour la firme, le second par l’introduction de produits nouveaux pour le marché. L’analyse économétrique essaye d’expliquer une partie des différences nationales d’innovation par la composition sectorielle de la production, l’effet taille, les conditions environnementales (proximité de la recherche de base et concurrence) et les activités d’innovation (R-D interne, nombre d’activités innovantes, coopération et support gouvernemental). Les firmes canadiennes tirent avantage de leur plus grande taille et sont plus nombreuses à recevoir du support gouvernemental. Par contre, elles souffrent du manque de concurrence et de R-D interne. Au total, la prise en compte de ces effets structurels est certes révélatrice, mais n’explique qu’une faible partie des différences bilatérales dans les processus d’innovation. La mesure plus forte d’innovation par l’introduction de produits nouveaux pour le marché réduit les différences observées et les explique un peu mieux. |
| Keywords: | innovation, international comparisons, innovation, comparaison internationale |
| JEL: | O31 O51 O52 |
| Date: | 2005–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2005s-33&r=dcm |
| By: | Patrick Paul Walsh; Franco Mariuzzo; Ciara Whelan (Department of Economics, Trinity College) |
| Abstract: | Thresholds defined on the level and change in the HHI (Herfindahl- Hirschmann Index) applied to market shares seem to be the main instrument to select notified mergers for investigation in both the EU and US. We question the use of such a selection rule in di?erentiated products industries. We propose the use of a structural approach to apply HHI thresholds based on profit shares rather than market shares. We illustrate our point using product data for Retail Carbonated Soft Drinks (Price, Market Share and Characteristics). We estimate company (product) mark-ups consistent with a structural model of equilibrium, using demand primitives from a Nested Logit model and a Random Coe?cient model. We provide an example where the HHI thresholds based on profit shares identify potentially damaging mergers not captured by applying thresholds to output shares, or conversely, identify mergers of no concern that would be selected on the basis of output shares. |
| JEL: | K2 L11 L25 L40 L81 |
| Date: | 2005–08 |
| URL: | http://d.repec.org/n?u=RePEc:tcd:tcduee:2000510&r=dcm |
| By: | Jawwad Noor (Boston University) |
| Abstract: | Choice may be determined both by a consideration of one's welfare (normative preference) and by desires (temptation preference). To provide foundations for such a theory, Gul and Pesendorfer (2001, 2004) adopt a preference over choice problems as a primitive and hypothesize that temptation creates a preference for commitment. This paper argues that temptation may in fact create the absence of a preference for commitment, and that the primitive may not be empirically meaningful since it requires us to observe behavior in the absence of temptation. An alternative approach to providing foundations is introduced. Motivated by the evidence on preference reversals, it is hypothesized that delayed temptations are easier to resist than immediate temptations. Normative preference is derived via choices between sufficiently delayed alternatives, and temptation preference is inferred from discrepancies between normative preference and choice. With a choice correspondence as the primitive, agents who are `tempted not to commit' are modeled. The foundations of the model are used to identify evidence supporting such temptation. |
| Keywords: | Self-Control, Temptation, Commitment, Preference Reversals, Revealed Preference |
| JEL: | D1 D2 D3 D4 |
| Date: | 2005–09–28 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpmi:0509009&r=dcm |
| By: | Hielke Buddelmeyer (Melbourne Institute of Applied Economic and Social Research); Gilles Mourre (Directorate-General for Economic and Financial Affairs (ECFIN), European Commission, Brussels, Belgium); Melanie Ward-Warmedinger (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany) |
| Abstract: | This paper looks at the role of part-time work in labour mobility for 11 European countries. We find some evidence of part-time work being used as a stepping stone into full-time employment, but for a small proportion of individuals (less than 5%). Part-time jobs are also found to be more frequently taken up as a means to enter the labour market than to leave it. Multinomial logit regression of the determinants of parttime work reveals household composition, past labour market history and country of residence as very important for both men and women in their decision to work part time. Random effects regression controlling for individual heterogeneity, and the comparison of results for Europe and the US, reveals that a significantly higher proportion of female workers in Europe prefer inactivity and a significantly lower percentage prefer full-time, over part-time employment, than in the US, with considerable variation across EU countries. |
| Keywords: | Labour market mobility and flexibility; labour supply; full-time and part-time employment; unemployment; non-employment; gender; stepping stones; labour market entry and exit. |
| JEL: | J21 J22 J16 J60 |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20050460&r=dcm |