格林 面板数据讲义-25.pptVIP

Econometric Analysis of Panel Data 25.Modeling Heterogeneity in Classical Discrete Choice: Contrasts with Bayesian Estimation William Greene Department of Economics Stern School of Business New York University Abstract This study examines some aspects of mixed (random parameters) logit modeling. We present some familiar results in specification and classical estimation of the random parameters model. We then describe several extensions of the mixed logit model developed in recent papers. The relationship of the mixed logit model to Bayesian treatments of the simple multinomial logit model is noted, and comparisons and contrasts of the two methods are described. The techniques described here are applied to two data sets, a stated/revealed choice survey of commuters and one simulated data set on brand choice. Random Parameters Models of Discrete Choice Econometric Methodology for Discrete Choice Models Classical Estimation and Inference Bayesian Methodology Model Building Developments The Mixed Logit Model Extensions of the Standard Model Modeling Individual Heterogeneity ‘Estimation’ of Individual Taste Parameters Useful References Classical Train, K., Discrete Choice Methods with Simulation, Cambridge, 2003. (Train) Hensher, D., Rose, J., Greene, W., Applied Choice Analysis, Cambridge, 2005. Hensher, D., Greene, misc. papers, 2003-2005, /~wgreene Bayesian Allenby, G., Lenk, P., “Modeling Household Purchase Behavior with Logistic Normal Regression,” JASA, 1997. Allenby, G., Rossi, P., “Marketing Models of Consumer Heterogeneity,” Journal of Econometrics, 1999. (AR) Yang, S., Allenby, G., “A Model for Observation, Structural, and Household Heterogeneity in Panel Data,” Marketing Letters, 2000. A Random Utility Model The Multinomial Logit Model Independent type 1 extreme value (Gumbel): F(?itj) = 1 – Exp(-Exp(?itj)) Independence across utility functions Identical variances, ?2 = π2/6 Same taste parameters for all individuals What’s Wrong with this MNL Mod