翻訳と辞書 Words near each other ・ Probert-Price Collection ・ Proberta, California ・ Probes in Space ・ ProbeVue ・ Probhu Nosto Ho Jai ・ Probianus ・ Probie ・ Probing amendment ・ Probing Lensing Anomalies Network ・ Probinsya Muna Development Initiative ・ Probiotic ・ Probiotics in pediatrics ・ Probir Sen ・ Probit ・ Probit model ・ Probit model for panel data with heterogeneity and endogenous explanatory variables ・ Probitas Partners ・ Probithia ・ Probithia exclusa ・ Probiy ・ Probizhna ・ ProBiznes ・ Probištip ・ Probištip Municipality ・ Probka ・ Probka Restaurant Group ・ Problem (Ariana Grande song) ・ Problem (disambiguation) ・ Problem (horse) ・ Problem (rapper) Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Probit model for panel data with heterogeneity and endogenous explanatory variables ： ウィキペディア英語版 Probit model for panel data with heterogeneity and endogenous explanatory variables In many cases, there is an unobservable heterogeneity in the probit model. For instance, when modelling the consumption choice of a certain brand, consumers’ personal preference is unobserved but needs to be considered in the model 〔 Pradeep K. Chintagunta, Dipak C. Jain and Naufel J. Vilcassim (1991), “Investigating Heterogeneity in Brand Preferences in Logit Models for Panel Data”, Journal of Marketing Research, Vol. 28, pp. 417-428.〕 . Owing to omitted variable or measurement error, endogeneity issue also could arise〔 Wooldridge, J. (2002): Econometric Analysis of Cross Section and Panel Data, MIT Press, Cambridge, Mass, pp 473.〕 . A probit model including both of these two issues can be represented as: $y\_it\; =\; 1\; (y\_it^$ * > 0 ) $y\_it\; ^$ * = x_^ \beta + z_ \delta + c_i + u_ $z\_it\; =\; x\_^\; \backslash gamma\_1\; +\; x\_^\; \backslash gamma\_2+v\_$ where $c\_i$ is the unobservable heterogeneity effect and $u\_\; \backslash mid\; x\_i\; ~\; N\; (0,\; 1),\; v\_\; |\; x\_i\; ~\; N\; (\; 0,\; \backslash sigma^)$. If $v\_$ and $u\_$ are independent, this model will degenerate to a probit model with unobservable heterogeneity. In this case, we can just integrate $P\; (y\_,\backslash ldots,y\_\; \backslash mid\; x\_i,c\_i)$ against the density of $c\_i$ conditional on $x\_i$, then $P(y\_,\backslash ldots,y\_\; |x\_i)$ can be obtained 〔 Wooldridge, J. (2002): Econometric Analysis of Cross Section and Panel Data, MIT Press, Cambridge, Mass, pp 494.〕 and the objective for the conditional Maximum Likelihood Estimation is $\backslash sum\_^N\; \backslash log\; (|x\_i))$ If $v\_$ and $u\_$ are correlated, under the normality assumption, it can be assumed that $v\_$ =$\backslash rho\; u\_\; +\; \backslash epsilon\_$ 〔 For more details, refer to Whitney K. Newey (1987), “Efficient Estimation of Limited Dependent Variable Models with Endogenous Explanatory Variables”, Journal of Econometrics 36, pp. 231-250.〕 , where $\backslash epsilon\_\; \backslash sim\; \_\; N\; (0,\; \backslash sigma^2\; -\; \backslash rho^2)$ and $\backslash epsilon\_i$ is independent with $v\_i$ and $u\_i$. Then the model can be rewritten as: $y\_\; =\; 1\; ((\backslash beta\; +\; \backslash delta\backslash gamma\_1\; )\; +\; x\_^\; \backslash delta\backslash gamma\_2\; +\; c\_i+\; \backslash omega\_\; >\; 0)$ where $\backslash omega\_\; =\; (1+\backslash rho\backslash delta)\; u\_\; +\; \backslash delta\backslash epsilon\_,\; \backslash omega\_\; /sim\; N\; (0,\; (1+\backslash rho\backslash delta)^2\; +\; \backslash delta^2\; (\backslash sigma^2\; -\; \backslash rho^2\; ))$ and $corr(\backslash omega\_\; ,\; \backslash omega\; \_\; )\; =\; \backslash frac\; )\}\; .$ Based on this, following the same Maximum Likelihood Estimation procedure and the scaled parameter $(\backslash beta\; +\; \backslash delta\backslash gamma\_1\; ,\; \backslash delta\backslash gamma\_2)\; /\; \backslash sqrt$ can be consistently estimated, then the APE 〔 Wooldridge, J. (2002): Econometric Analysis of Cross Section and Panel Data, MIT Press, Cambridge, Mass, pp 22.〕 can be consistently estimated correspondingly. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Probit model for panel data with heterogeneity and endogenous explanatory variables」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.