Template-Type: ReDIF-Paper 1.0
Author-Name: Bel, K.
Author-Name-Last: Bel
Author-Name-First: Koen
Author-Name: Paap, R.
Author-Name-Last: Paap
Author-Name-First: Richard
Author-Person: ppa494
Title: A Multivariate Model for Multinomial Choices
Abstract: __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.
Length: 34
Creation-Date: 2014-10-13
File-URL: https://repub.eur.nl/pub/77168/Bel-and-Paap-2014-.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2014-26
Keywords: Discrete Choices, Multivariate analysis, Multinomial Logit, Composite Likelihood
Handle: RePEc:ems:eureir:77168