Abstract
Two new classes of probability distributions are introduced that radically simplify the process of developing variance components structures for extremevalue and logistic distributions. When one of these new variates is added to an extreme-value (logistic) variate, the resulting distribution is also extreme value (logistic). Thus, quite complicated variance structures can be generated by recursively adding components having this new distribution, and the result will retain a marginal extreme-value (logistic) distribution. It is demonstrated that the computational simplicity of extreme-value error structures extends to the introduction of heterogeneity in duration, selection bias, limited-dependent- and qualitative-variable models. The usefulness of these new classes of distributions is illustrated with the examples of nested logit, multivariate risk, and competing risk models, where important generalizations to conventional stochastic structures are developed. The new models are shown to be computationally simpler and far more tractable than alternatives such as estimation by simulated moments. These results will be of considerable use to applied microeconomic researchers who have been hampered by computational difficulties in constructing more sophisticated estimators.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference32 articles.
1. Fisher Information for a Bivariate Extreme Value Distribution
2. Decisionmaking in the motor carrier industry;Cardell;Transportation Research,1995
3. Cardell N.S. (1989) Extensions of Multinomial Logit: The Hedonic Demand Model, the Nonindependent Logit Model, and the Ranked Logit Model. Unpublished Ph.D. Dissertation, Harvard University, Cambridge, Massachusetts.
4. Dummy Endogenous Variables in a Simultaneous Equation System
5. The generalized Gompertz-Verhulst family of distributions;Ahuja;Sankhya: The Indian Journal of Statistics: Series A,1967
Cited by
240 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献