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on Discrete Choice Models |
| By: | Paulo Guimaraes (Medical University of South Carolina) |
| Abstract: | In many applications of conditional logit models the choice set and the characteristics of that set are identical for groups of decision makers. In that case is possible to obtain a more computationally efficient estimation of the model by grouping the data and employing a new user-written command, "multin". The command "multin" is designed for estimation of grouped conditional logit models. It produces the same output as "clogit" but requires a more compact data layout. This is particularly relevant when the model comprises many observations and/or choices. In this situation it is possible to obtain substantial reductions in the size of the data set and the time required for estimation. I also present a tool implemented in Mata that transforms the data as required by "clogit" to the new format required by "multin". Finally, I discuss the problem of overdispersion in the grouped conditional logit model and present some alternatives to deal with this problem. One of these alternatives is Dirichlet-Multinomial (DM) regression. A new command for estimation of the DM regression model, "dirmul", is presented. The "dirmul" command can also be used to estimate the better known Beta-Binomial regression models. |
| Date: | 2006–07–23 |
| URL: | http://d.repec.org/n?u=RePEc:boc:asug06:7&r=dcm |
| By: | Lutz C. Kaiser |
| Abstract: | Using micro panel data, labor market transitions are analyzed for the EU-member states by cumulative year-by-year transition probabilities. As female (non-)employment patterns changed more dramatically than male employment in past decades, the analyses mainly refer to female labor supply. In search for important determinants of these transitions, six EU-countries with different labor market-regimes are selected as examples (Denmark, Germany, Netherlands, Portugal, Ireland, UK). Within these countries, women's determinants of labor market transitions are compared by means of pooled multinominal logit-regressions. The outcomes hint at both, the importance of socio-economic determinants, like the life cycle or human capital, but also address gender related differences in the paths of labor market transitions. Clearly, the observed cross-national differences are driven by specific national institutional settings. Among others, one of the most crucial features is the day-care infrastructure concerning children, which either fosters or restricts a sustainable risk management between family and work in the respective countries. |
| Keywords: | labor supply, labor market transitions, socio-economic determinants, institutional settings, risk management, cross-national comparison |
| JEL: | J21 J22 J78 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp606&r=dcm |
| By: | Paola Manzini (Queen Mary, University of London and IZA); Marco Mariotti (Queen Mary, University of London) |
| Abstract: | We study and test a class of boundedly rational models of decision making which rely on sequential eliminative heuristics. We formalize two sequential decision procedures, both inspired by plausible models popular among several psychologists and marketing scientists. However we follow a standard `revealed preference' economic approach by fully characterizing these procedures by few, simple and testable conditions on observed choice. Then we test the models (as well as the standard utility maximization model) with experimental data. We find that the large majority of individuals behave in a way consistent with one of our procedures, and inconsistent with the utility maximization model. |
| Keywords: | Bounded rationality, Choice experiments |
| JEL: | C91 D9 |
| Date: | 2006–07 |
| URL: | http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp561&r=dcm |
| By: | Michele Lombardi (Queen Mary, University of London) |
| Abstract: | I study necessary and sufficient conditions for a choice function to be rationalised in the following sense: there exists a complete asymmetric relation <i>T</i> (a <i>tournament</i>) such that for each feasible (finite) choice situation, the choice coincides with the uncovered set of <i>T</i>. This notion of rationality explains not only cyclical and context dependent choices observed in practice, but also provides testable restrictions on observable choice behavior. |
| Keywords: | Rationalizability, Uncovered set, Intransitive choice |
| JEL: | D01 |
| Date: | 2006–07 |
| URL: | http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp563&r=dcm |
| By: | Reint Gropp (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Marco Lo Duca (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Jukka Vesala (Financial Supervision Authority of Finland (Fin-FSA), Snellmaninkatu 6, P.O. Box 159, FIN-00101 Helsinki, Finland.) |
| Abstract: | This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (“coexceedances”) as a function of variables measuring common shocks and lagged coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the daily percentage change in the distance to default of the bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the specification. JEL Classification: G21, F36, G15. |
| Keywords: | Banking, Contagion, Distance to default, Multinomial logit model. |
| Date: | 2006–07 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20060662&r=dcm |