[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/p/hhs/iuiwop/0128.html
   My bibliography  Save this paper

Information Criterion and Estimation of Misspecified Qualitative Choice Models

Author

Listed:
  • Brownstone, David

    (Research Institute of Industrial Economics (IFN))

Abstract
This paper investigates misspecified estimation and model selection criteria derived from the "Information Criterion (see Akaike (1973))" for qualitative choice models. Four estimators for the "Information Criterion" are derived for general qualitative choice models. Two of these estimators were previously derived by Akaike (1973) and Chow (1981) for arbitrary likelihood functions. The new estimators are derived by taking analytic expectations of the log likelihood function. A number of Monte Carlo experiments are performed using binominal logit models to investigate the behavior of the Information Criterion estimators with realistic sample sizes. The new analytic estimators are more accurate than the more general estimators , but they do not always perform as well in minimizing prediction or estimation error. Monte Carlo results also show that the usual asymptotic distribution properties of the maximum likelihood estimator are poor approximations for sample sizes as large as 1,000 observations with only two variables.

Suggested Citation

  • Brownstone, David, 1984. "Information Criterion and Estimation of Misspecified Qualitative Choice Models," Working Paper Series 128, Research Institute of Industrial Economics.
    • Handle: RePEc:hhs:iuiwop:0128
    as

    Download full text from publisher

    File URL: https://www.ifn.se/wfiles/wp/wp128.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Model selection criteria; misspecified estimation; information criterion; qualitative choice models;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:iuiwop:0128. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Elisabeth Gustafsson (email available below). General contact details of provider: https://edirc.repec.org/data/iuiiise.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.