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Econometric Analysis of Panel Data Econometric Analysis of Panel Data 15. Models for Binary Choice Agenda and References Binary choice modeling – the leading example of formal nonlinear modeling Binary choice modeling with panel data Models for heterogeneity Estimation strategies Unconditional and conditional Fixed and random effects The incidental parameters problem JW chapter 15, Baltagi, ch. 11, Hsiao ch. 7, Greene ch. 23. Two Fundamental Building Blocks Underlying Behavioral Theory: Random utility model The link between underlying behavior and observed data Empirical Tool: Stochastic, parametric model for binary choice A platform for models of discrete choice Behavioral Assumptions Preferences are transitive and complete wrt choice situations Utility is defined over alternatives: Uit Utility maximization assumption If Uit1 Uit2, consumer chooses alternative 1, not alternative 2. Revealed preference (duality) If the consumer chooses alternative 1 and not alternative 2, then Uit1 Uit2. Random Utility Functions A Model for Binary Choice Yes or No decision (Buy/Not buy) Example, choose to fly or not to fly to a destination when there are alternatives. Model: Net utility of flying Ufly = ?+?1Cost + ?2Time + ?Income + ? Choose to fly if net utility is positive Data: X = [1,cost,terminal time] Z = [income] y = 1 if choose fly, Ufly 0, 0 if not. What Can Be Learned from the Data? (A Sample of Consumers, i = 1,…,n) Application 210 Commuters Between Sydney and Melbourne Available modes = Air, Train, Bus, Car Observed: Choice Attributes: Cost, terminal time, other Characteristics: Household income First application: Fly or other The Data An Econometric Model Choose to fly iff UFLY 0 Ufly = ?+?1Cost + ?2Time + ?Income + ? Ufly 0 ? ? -(?+?1Cost + ?2Time + ?Income) Probability model: For any person observed by the analyst, Prob(fly) = Prob[? -(?+?1Cost + ?2Time + ?
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