Arbeitspapier
Using a Laplace approximation to estimate the random coefficients logit model by non-linear least squares
Current methods of estimating the random coefficients logit model employ simulations of the distribution of the taste parameters through pseudo-random sequences. These methods suffer from difficulties in estimating correlations between parameters and computational limitations such as the curse of dimensionality. This paper provides a solution to these problems by approximating the integral expression of the expected choice probability using a multivariate extension of the Laplace approximation. Simulation results reveal that our method performs very well, both in terms of accuracy and computational time.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP01/06
- Klassifikation
-
Wirtschaft
- Thema
-
Zustandsraummodell
Entscheidung bei Unsicherheit
Methode der kleinsten Quadrate
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Harding, Matthew C.
Hausman, Jerry
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2005
- DOI
-
doi:10.1920/wp.cem.2006.0106
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Harding, Matthew C.
- Hausman, Jerry
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2005
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