个体计量模型在财务上的应用余士迪.PPT

Econometric model Single equation model System of equations model Simultaneous equation Model Single equation model System of equations model Simultaneous equations Microeconometrics Discrete choice models Sample selection models Duration models ? Probit Model Logit Model ? Multinomial Choice Model ? Multinomial Logit Model ? Nested Logit Model ? Mixed Logit Model ? Multinomial Probit Model ? Bivariated Probit Model ? Multivariate Probit Model ? Sequential Choice Model ? Ordered Probit Model ? Count Data Sample Selection Model Censored model Sample selection model Duration Model Duration model Split population model Binary Choice Model Boczar (1978, J. of Finance) Probit Model Probit model Properties of Maximum Likilihood Estimator Probit, logit vs. OLS Modeling Decision This yes or no type decision leads to a dummy variable. The dependent variable of our model is a dummy variable. We will be modeling the probability function, P(Y=1). Simplest ModelLinear Probability Model Picture of LPM Problems of LPM Predictions outside 0-1 range. Heteroscedasticity This can be solved and a estimated GLS estimator developed. Coefficient Determination has little meaning. Constant marginal effect. Interpreting the Probit Model The logit model More often cited are R-square values based on likelihood ratios. Maddala ? R2 = 1 - (LR / LUR) 2/n McFadden R-square: R2 = 1 - (log(LUR ) / log(LR)) Multinomial Choice Model McFadden 1973 Count regression Appropriate when the dependent variable is a non-negative integer (0,1,2,3,…) Distributions and Models Poisson Model Negative Binomial Model Zero-inflated Poisson Model Zero-inflated Negative Binomial Model Why not use linear regression? Typical count data in health care: Large number of 0 values and small values Discrete nature of data Result: Unusual distribution Normal distribution vsPoisson distribution Poisson with ? = 0.5 When Count Data Cannot be Treated Normally When t