R. Paap (Richard)
http://repub.eur.nl/ppl/397/
List of Publicationsenhttp://repub.eur.nl/eur_signature.png
http://repub.eur.nl/
RePub, Erasmus University RepositoryParameter Estimation in Multivariate Logit models
with Many Binary Choices
http://repub.eur.nl/pub/77167/
Mon, 20 Oct 2014 00:00:01 GMT<div>K. Bel</div><div>D. Fok</div><div>R. Paap</div>
__Abstract__
The multivariate choice problem with correlated binary choices is investigated. The Multivariate Logit [MVL] model is a convenient model to describe such choices as it provides a closed-form likelihood function. The disadvantage of the MVL model is that the computation time required for the calculation of choice probabilities increases exponentially with the number of binary choices under consideration. This makes maximum likelihood-based estimation infeasible in case there are many binary choices. To solve this issue we propose three novel estimation methods which are much easier to obtain, show little loss in efficiency and still perform similar to the standard Maximum Likelihood approach in terms of small sample bias. These three methods are based on (i) stratified importance sampling, (ii) composite conditional likelihood, and (iii) generalized method of moments. Monte Carlo results show that the gain in computation time in the Composite Conditional Likelihood estimation approach is large and convincingly outweighs the limited loss in efficiency. This estimation approach makes it feasible to straightforwardly apply the MVL model in practical cases where the number of studied binary choices is large.A Multivariate Model for Multinomial Choices
http://repub.eur.nl/pub/77168/
Mon, 13 Oct 2014 00:00:01 GMT<div>K. Bel</div><div>R. Paap</div>
__Abstract__
Multinomial choices of individuals are likely to be correlated. Nonetheless, econometric models for this phenomenon are scarce. A problem of multivariate multinomial choice models is that the number of potential outcomes can become very large which makes parameter interpretation and inference difficult. We propose a novel Multivariate Multinomial Logit specification, where (i) the number of parameters stays limited; (ii) there is a clear interpretation of the parameters in terms of odds ratios; (iii) zero restrictions on parameters result in independence between the multinomial choices and; (iv) parameter inference is feasible using a composite likelihood approach even if the multivariate dimension is large. Finally, these nice properties are also valid in a fixed-effects panel version of the model.Incorporating responsiveness to marketing efforts in brand choice modeling
http://repub.eur.nl/pub/50609/
Fri, 21 Feb 2014 00:00:01 GMT<div>D. Fok</div><div>R. Paap</div><div>Ph.H.B.F. Franses</div>
__Abstract__
We put forward a brand choice model with unobserved heterogeneity that concerns responsiveness to marketing efforts. We introduce two latent segments of households. The first segment is assumed to respond to marketing efforts, while households in the second segment do not do so. Whether a specific household is a member of the first or the second segment at a specific purchase occasion is described by household-specific characteristics and characteristics concerning buying behavior. Households may switch between the two responsiveness states over time. When comparing the performance of our model with alternative choice models that account for various forms of heterogeneity for three different datasets, we find better face validity for our parameters. Our model also forecasts better.Breast cancer screening halves the risk of breast cancer death: A case-referent study
http://repub.eur.nl/pub/73004/
Wed, 01 Jan 2014 00:00:01 GMT<div>R. Paap</div><div>A.L.M. Verbeek</div><div>A.M. Botterweck</div><div>H.J. van Doorne-Nagtegaal</div><div>M. Imhof-Tas</div><div>H.J. de Koning</div><div>S.J. Otto</div><div>L. de Munck</div><div>A. van der Steen</div><div>R. Holland</div><div>G.J. den Heeten</div><div>M.J.M. Broeders</div>
Large-scale epidemiologic studies have consistently demonstrated the effectiveness of mammographic screening programs, however the benefits are still subject to debate. We estimated the effect of the Dutch screening program on breast cancer mortality. In a large multi-region case-referent study, we identified all breast cancer deaths in 2004 and 2005 in women aged 50-75 who had been invited for screening (cases). Cases were individually matched to referents from the population invited to screening. Conditional logistic regression was used to estimate the odds ratio (OR) of breast cancer death according to individual screening history. The OR was adjusted for self-selection bias using regional correction factors for the difference in baseline risk for breast cancer death between screened and unscreened women. A total of 1233 cases and 2090 referents were included in this study. We found a 58% reduction in breast cancer mortality in screened versus unscreened women (adjusted OR = 0.42, 95% CI 0.33-0.53). Screening, i.e. early detection and treatment, has resulted in a substantial reduction in breast cancer mortality, indicating that the Dutch breast cancer screening program is highly effective.Measuring and predicting heterogeneous recessions
http://repub.eur.nl/pub/41094/
Fri, 01 Nov 2013 00:00:01 GMT<div>C. Cakmakli</div><div>R. Paap</div><div>D.J.C. van Dijk</div>
This paper examines the usefulness of a more refined business cycle classification for monthly industrial production (IP), beyond the usual distinction between expansions and contractions. Univariate Markov-switching models show that a three regime model is more appropriate than a model with only two regimes. Interestingly, the third regime captures 'severe recessions', contrasting the conventional view that the additional third regime represents a 'recovery' phase. This is confirmed by means of Markov-switching vector autoregressive models that allow for phase shifts between the cyclical regimes of IP and the Conference Board's Leading Economic Index (LEI). The timing of the severe recession regime mostly corresponds with periods of substantial financial market distress and severe credit squeezes, providing empirical evidence for the 'financial accelerator' theory.Bayesian forecasting of federal funds target rate decisions
http://repub.eur.nl/pub/41486/
Sun, 01 Sep 2013 00:00:01 GMT<div>S. van den Hauwe</div><div>R. Paap</div><div>D.J.C. van Dijk</div>
In this paper we examine which macroeconomic and financial variables have most predictive ability for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC). We conduct the analysis for the 157 FOMC decisions during the period January 1990-June 2008, using dynamic ordered probit models with a Bayesian endogenous variable selection methodology and real-time data for a set of 33 candidate predictor variables. We find that indicators of economic activity and forward-looking term structure variables, as well as survey measures are most informative from a forecasting perspective. For the full sample period, in-sample probability forecasts achieve a hit rate of 90%. Based on out-of-sample forecasts for the period January 2001-June 2008, 82% of the FOMC decisions are predicted correctly. Modeling the impact of forecast-based regime switches on macroeconomic time series
http://repub.eur.nl/pub/40884/
Thu, 08 Aug 2013 00:00:01 GMT<div>K. Bel</div><div>R. Paap</div>
Forecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition autoregressive model where the regime switches depend on the forecast of the time series of interest. This forecast can either be an exogenous expert forecast or an endogenous forecast generated by the model. Results of an application of the model to US inflation shows that (i) forecasts lead to regime changes and have an impact on the level of inflation; (ii) a relatively large forecast results in actions which in the end lower the inflation rate; (iii) a counterfactual scenario where forecasts during the oil crises in the 1970s are assumed to be correct leads to lower inflation than observed.Common large innovations across nonlinear time series
http://repub.eur.nl/pub/40232/
Fri, 01 Feb 2013 00:00:01 GMT<div>Ph.H.B.F. Franses</div><div>R. Paap</div>
We propose a multivariate nonlinear econometric time series model, which can be used to examine if there is common nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as the presence of common innovations. We discuss representation, inference, estimation and diagnostics. We illustrate the model for US and Canadian unemployment and find that US innovation variables have an effect on Canadian unemployment, and not the other way around, and also that there is no common nonlinearity across the unemployment variables.Real-Time Inflation Forecasting in a Changing World
http://repub.eur.nl/pub/38711/
Mon, 28 Jan 2013 00:00:01 GMT<div>J.J.J. Groen</div><div>R. Paap</div><div>F. Ravazzolo</div>
This article revisits the accuracy of inflation forecasting using activity and expectations variables. We apply Bayesian model averaging across different regression specifications selected from a set of potential predictors that includes lagged values of inflation, a host of real activity data, term structure data, (relative) price data, and surveys. In this model average, we can entertain different channels of structural instability, by either incorporating stochastic breaks in the regression parameters of each individual specification within this average, or allowing for breaks in the error variance of the overall model average, or both. Thus, our framework simultaneously addresses structural change and model uncertainty that would unavoidably affect any inflation forecast model. The different versions of our framework are used to model U.S. personal consumption expenditures (PCE) deflator and gross domestic product (GDP) deflator inflation rates for the 1960–2011 period. A real-time inflation forecast evaluation shows that averaging over many predictors in a model that at least allows for structural breaks in the error variance results in very accurate point and density forecasts, especially for the post-1984 period. Our framework is especially useful when forecasting, in real-time, the likelihood of lower-than-usual inflation rates over the medium term. This article has online supplementary materials.
The Effect of Recessions on Gambling Expenditures
http://repub.eur.nl/pub/38708/
Sat, 01 Dec 2012 00:00:01 GMT<div>C. Horváth</div><div>R. Paap</div>
This article examines the influence of the business cycle on expenditures of three major types of legalized gambling activities: Casino gambling, lottery, and pari-mutuel wagering. Empirical results are obtained using monthly aggregated US per capita consumption time series for the period 1959. 01-2010. 08. Among the three gambling activities only lottery consumption appears to be recession-proof. This series is characterized by a vast and solid growth that exceeds the growth in income and the growth in other gambling sectors. Casino gambling expenditures show a positive growth during expansions and no growth during recessions. Hence, the loss in income during recessions affects casino gambling. However, income shocks which are not directly related to the business cycle do not influence casino gambling expenditures. Pari-mutuel wagering displays an overall negative trend and its average growth rate is smaller than the growth in income, especially during recessions. The findings of this article provide important implications for the gambling industry and for local governments. Introduction for the annals issue of the Journal of Econometrics on "Bayesian Models, Methods and Applications"
http://repub.eur.nl/pub/38803/
Sat, 01 Dec 2012 00:00:01 GMT<div>J.F. Geweke</div><div>G. Koop</div><div>R. Paap</div>
Modeling dynamic effects of promotion on interpurchase times
http://repub.eur.nl/pub/37689/
Thu, 01 Nov 2012 00:00:01 GMT<div>D. Fok</div><div>R. Paap</div><div>Ph.H.B.F. Franses</div>
Dynamic effects of marketing-mix variables on interpurchase times can be analyzed in the context of a duration model. Specifically, this can be done by extending the accelerated failure-time model with an autoregressive structure. An important feature of the model is that it allows for different long-run and short-run effects of marketing-mix variables on interpurchase times. The error-correction specification of the model contains parameters which measure the direct effect of a temporary change in a marketing-mix variable on interpurchase times and parameters which measure the long-run (cumulative) effect of a temporary change in a marketing-mix variable on current and future interpurchase times. As marketing efforts usually change during the spells, time-varying covariates are explicitly dealt with. Heterogeneity of individual behavior is allowed for through a mixture approach. An empirical analysis of purchases in three different categories reveals, for some segments of households, that the short-run effects of marketing-mix variables are significantly different from the long-run effects. The decay in the effect of changes in marketing-mix variables over time is larger in categories with large interpurchase times, and price has the largest long-run effect for the perishable product. Finally, ignoring dynamic effects leads to erroneous results about the effectiveness of marketing instruments. The Annals of Computational and Financial Econometrics, first issue
http://repub.eur.nl/pub/52218/
Thu, 01 Nov 2012 00:00:01 GMT<div>D. Belsley</div><div>E.J. Kontoghiorghes</div><div>H.K. van Dijk</div><div>L. Bauwens</div><div>D. Belsley</div><div>E.J. Kontoghiorghes</div><div>S.J. Koopman</div><div>M.J. McAleer</div><div>H.K. van Dijk</div><div>A. Amendola</div><div>M. Billio</div><div>C. Croux</div><div>C.W.S. Chen</div><div>R. Davidson</div><div>P. Duchesne</div><div>P. Foschi</div><div>C. Francq</div><div>A.-M. Fuertes</div><div>G. Koop</div><div>L. Khalaf</div><div>M. Paolella</div><div>I. Pollock</div><div>E. Ruiz</div><div>R. Paap</div><div>T. Proietti</div><div>P. Winker</div><div>P.L.H. Yu</div><div>J.-M. Zakoian</div><div>A. Zeileis</div>
Intake of own Mother's milk during the first days of life is associated with decreased morbidity and mortality in very low birth weight infants during the first 60 days of life
http://repub.eur.nl/pub/62441/
Thu, 01 Nov 2012 00:00:01 GMT<div>W.E. Corpeleijn</div><div>S.M.P. Kouwenhoven</div><div>R. Paap</div><div>I. van Vliet</div><div>I.K. de Scheerder</div><div>Y. Muizer</div><div>K. Helder MScN</div><div>J.B. van Goudoever</div><div>M.J. Vermeulen</div>
Background: The incidence of necrotizing enterocolitis (NEC) and possibly also of sepsis is lower in preterm infants fed their own mother's milk (hereafter 'mother's milk') compared with formula-fed infants. It is unclear whether this is caused by the protective properties of breast milk or by the absence of cow's milk. Especially in early life, mother's milk is often unavailable to preterm infants, while minimal enteral nutrition is initiated immediately. Objectives: To determine whether there is an association between intake of mother's milk during the first days of life and the combined outcome of sepsis, NEC and death over a prolonged period. Methods: Retrospective study in infants with a birth weight <1,500 g. Intake of mother's milk and formula during the first 10 days of life was recorded. The occurrence of sepsis, NEC and death was registered during the first 60 days. Data were analysed using Cox regression analysis, taking confounders into account. Results: In total, 349 infants were included. Intake of mother's milk during the first 5 days of life was associated with a lower incidence of NEC, sepsis and/or death during the first 60 days of life (hazard ratio (HR) in the category 0.01-50% intake of mother's milk: 0.49, 95% confidence interval (CI) 0.28, 0.87; HR in the category 50.01-100% intake of mother's milk: 0.50, 95% CI 0.31, 0.83, both compared to no mother's milk). During days 6-10, the protective effect was only present if >50% of the total intake was mother's milk (HR = 0.37, 95% CI 0.22, 0.65). Conclusion: The type of enteral nutrition during the first 10 days of life is associated with the risk of NEC, sepsis and/or death during the first 60 days of life. CopyrightOne size does not fit all: Selling firms to private equity versus strategic acquirers
http://repub.eur.nl/pub/32870/
Sat, 01 Sep 2012 00:00:01 GMT<div>P.G.J. Roosenboom</div><div>R. Paap</div><div>T. Teunissen</div>
This paper investigates the selling process of firms acquired by private equity versus strategic buyers. In a single regression setup we show that selling firms choose between formal auctions, controlled sales and private negotiations to fit their firm and deal characteristics including profitability, R&D, deal initiation and type of the eventual acquirer (private equity or strategic buyer). At the same time, a regression model determining the buyer type shows that private equity buyers pursue targets that have more tangible assets, lower market-to-book ratios and lower research and development expenses relative to targets bought by strategic buyers. To reflect possible interdependencies between these two choices and their impact on takeover premium, as a last step, we estimate a simultaneous model that includes the selling mechanism choice, buyer type and premium equations. Our results show that the primary decision within the whole selling process is the target firm's decision concerning whether to sell the firm in an auction, controlled sale or negotiation which then affects the buyer type. These two decisions seem to be optimal as then they do not impact premium.
A rank-ordered logit model with unobserved heterogeneity in ranking capabilities
http://repub.eur.nl/pub/37687/
Wed, 01 Aug 2012 00:00:01 GMT<div>D. Fok</div><div>R. Paap</div><div>A. van Dijk</div>
To study preferences, respondents to a survey are usually asked to select their most preferred option from a set. Preferences can be estimated more efficiently if respondents are asked to rank all alternatives. When some respondents are unable to perform the ranking task, using the complete ranking may lead to a substantial bias. We introduce a model which endogenously describes the ranking capabilities of individuals. Estimated preferences based on this model are more efficient when at least some individuals are able to rank more than one item, and they do not suffer from biases due to ranking inabilities of respondents. Structural differences in economic growth: an endogenous clustering approach
http://repub.eur.nl/pub/26749/
Sun, 01 Jan 2012 00:00:01 GMT<div>N. Basturk</div><div>R. Paap</div><div>D.J.C. van Dijk</div>
This article addresses heterogeneity in determinants of economic growth in a data-driven way. Instead of defining groups of countries with different growth characteristics a priori, based on, for example, geographical location, we use a finite mixture panel model and endogenous clustering to examine cross-country differences and similarities in the effects of growth determinants. Applying this approach to an annual unbalanced panel of 59 countries in Asia, Latin and Middle America and Africa for the period 1971-2000, we can identify two groups of countries in terms of distinct growth structures. The structural differences between the country groups mainly stem from different effects of investment, openness measures and government share in the economy. Furthermore, the detected segmentation of countries does not match with conventional classifications in the literature. Estimating Loss Functions of Experts
http://repub.eur.nl/pub/30685/
Thu, 15 Dec 2011 00:00:01 GMT<div>Ph.H.B.F. Franses</div><div>R. Legerstee</div><div>R. Paap</div>
We propose a new and simple methodology to estimate the loss function associated with experts' forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear regression. This regression also provides an estimate for potential systematic bias in the forecasts of the expert. The residuals of the regression are the input for a test for the validity of the normality assumption. We apply our approach to a large data set of SKU-level sales forecasts made by experts and we compare the outcomes with those for statistical model-based forecasts of the same sales data. We find substantial evidence for asymmetry in the loss functions of the experts, with underprediction penalized more than overprediction.Estimating Loss Functions of Experts
http://repub.eur.nl/pub/31226/
Thu, 15 Dec 2011 00:00:01 GMT<div>Ph.H.B.F. Franses</div><div>R. Legerstee</div><div>R. Paap</div>
We propose a new and simple methodology to estimate the loss function associated with experts' forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear regression. This regression also provides an estimate for potential systematic bias in the forecasts of the expert. The residuals of the regression are the input for a test for the validity of the normality assumption.
We apply our approach to a large data set of SKU-level sales forecasts made by experts and we compare the outcomes with those for statistical model-based forecasts of the same sales data. We find substantial evidence for asymmetry in the loss functions of the experts, with underprediction penalized more than overprediction.Measuring and Predicting Heterogeneous Recessions
http://repub.eur.nl/pub/26863/
Sat, 01 Oct 2011 00:00:01 GMT<div>C. Cakmakli</div><div>R. Paap</div><div>D.J.C. van Dijk</div>
This paper examines whether the Conference Board's Leading Economic Index (LEI) can be used for modeling and forecasting a more refined business cycle classification beyond the usual distinction between expansions and contractions. Univariate Markov-switching models for monthly coincident variables and the LEI show that a three regime model is more appropriate than a model with only two regimes. Interestingly, the third regime captures `severe recessions' contrasting the conventional view that the additional third regime represents a 'recovery' phase. This is confirmed by means of Markov-switching vector autoregressive models that allow for phase shifts between the cyclical regimes of LEI and industrial production. Results indicate that a three regime model with a severe recession phase describes the cyclical dynamics in these series better than a two regime model (with only recession and expansion regimes) and a three regime model with a recovery phase. T he timing of the third regime mostly corresponds with periods of substantial credit squeezes and dramatic increases in the default spread as in the recent recession of 2007-2009. These findings provide empirical evidence for the theory of 'financial accelerator'. The severe recession regime of the LEI leads that of IP by 6.5 months whereas for mild recessions this lead time increases to one year.