Diagnostics in some Discrete Choice Models

Nagel, Herbert and Hatzinger, Reinhold (1990) Diagnostics in some Discrete Choice Models. Forschungsberichte / Institut für Statistik, 7. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.


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Discrete choice models form a class of models widely used in econometrics for modelling the individual choice from a finite set of alternatives. The most widely used model is the multinomial logit model, implicitly assuming independence of irrelevant alternatives. A generalization is the nested multinomial logit model, relaxing this strong assurnp tion. Viewing both models as nonlinear regression models a set of diagnostics is derived. This includes a hat matrix, measures of leverage, influence and residuals and an approximation to the parameters for case deletion. In an example for the multinomid logit model a good performance of these diagnostics is observed and the parameter approximation by the proposed formula is better than a one step Newton-Raphson procedure. In an example for the nested logit model a constructed outlier with high influence is revealed by the measures of leverage and residual, but the parameter approximation is insufficient. (author's abstract)

Item Type: Paper
Keywords: Discrete Choice Model / Multinomial Logit Model / Nested Multinomial Logit Model / Diagnostics / Residual / Leverage / Influence / Hat Matrix
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 11 Jul 2006 08:13
Last Modified: 22 Oct 2019 00:41
URI: https://epub.wu.ac.at/id/eprint/506


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