《计量经济学导论》ch17.pptVIP

Chapter 17;Limited dependent variables (LDV) LDV are variables whose range is substantively restricted Binary variables, e.g. employed/not employed Nonnegative variables, e.g. wages, prices, interest rates Nonnegative variables with excess zeros, e.g. labor supply Count variables, e.g. the number of arrests in a year Censored variables, e.g. unemployment durations Sample selection models The sample used to infer population relationships is endogenously se-lected, e.g. wage offer regression but data only about working women;Logit and Probit models for binary response Disadvantages of the LPM for binary dependent variables Predictions sometimes outside the unit interval Partial effects of explanatory variables are constant Nonlinear models for binary response Response probability is a nonlinear function of explanat. variables;Choices for the link function Latent variable formulation of the Logit and Probit model;Interpretation of coefficients in Logit and Probit models Partial effects are nonlinear and depend on the level of !;Maximum likelihood estimation of Logit and Probit models Properties of maximum likelihood estimators Maximum likelihood estimators are consistent, asymptotically normal and asymptotically efficient if the distributional assumptions hold;Hypothesis testing after maximum likelihood estimation The usual t-tests and confidence intervals can be used There are three alternatives to test multiple hypotheses Lagrange multiplier or score test (not discussed here) Wald test (requires only estimation of unrestricted model) Likelihood ratio test (restricted and unrestricted model needed);Goodness-of-fit measures for Logit and Probit models Percent correctly predicted Pseudo R-squared Correlation based measures;Reporting partial effects of explanatory variables The difficulty is that partial effects are not constant but depend on Partial effects at the average: Average partial effects: Analogous formulas hold for discrete explanatory variables;Example: Ma