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on Discrete Choice Models |
| By: | Cizek,Pavel (Tilburg University, Center for Economic Research) |
| Abstract: | The binary-choice regression models such as probit and logit are typically estimated by the maximum likelihood method. To improve its robustness, various M-estimation based procedures were proposed, which however require bias corrections to achieve consistency and their resistance to outliers is relatively low. On the contrary, traditional high-breakdown point methods such as maximum trimmed likelihood are not applicable since they induce the separation of data and thus non-identification of estimates by trimming observations. We propose a new robust estimator of binary-choice models based on a maximum symmetrically trimmed likelihood estimator. It is proved to be identified and consistent, and additionally, it does not create separation in the space of explanatory variables as the existing maximum trimmed likelihood. We also discuss asymptotic and robust properties of the proposed method and compare all methods by means of Monte Carlo simulations. |
| Keywords: | binary-choice regression;robust estimation;trimming; regression analysis;maximum likelihood |
| JEL: | C13 C25 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:kubcen:2005108&r=dcm |
| By: | Islam, Nizamul (Department of Economics, School of Economics and Commercial Law, Göteborg University) |
| Abstract: | This paper analyzes the inter-temporal labour-force participation of married women in Sweden. A dynamic probit-model was estimated, controlling for endogenous initial condition and unobserved heterogeneity, using longitudinal data to allow for a rich dynamic structure. Significant unobserved heterogeneity was found, along with serial correlation in the error-components, and negative state-dependence. The findings may indicate serial persistence due to persistent individual heterogeneity. <p> |
| Keywords: | Inter-temporal labour-force-participation; state-dependence; heterogeneity |
| JEL: | C23 C25 J22 |
| Date: | 2005–06–08 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:gunwpe:0184&r=dcm |
| By: | Maciej Bukowski (Warsaw School of Economics, Institute for Structural Research); Piotr Lewandowski (Warsaw School of Economics, Institute for Structural Research) |
| Abstract: | This paper investigates the determinants of the flows out of employment in Poland using multinomial logit model based on the individual LFS panel data covering the 1997-2004 period. It focuses on the influence of the personal characteristics, macroeconomic environment, industry restructuring and labor market institutions on the individual's labor market prospects. Special attention is devoted to social security benefits and pensions as co-determinants of labor market behavior of older workers. |
| Keywords: | Labor dynamics, transition economies, job destruction, multinomial logit |
| JEL: | J2 H31 |
| Date: | 2005–11–09 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpla:0511007&r=dcm |