高斯多项内生性切换模型的估计

Q3 Economics, Econometrics and Finance Applied Econometrics Pub Date : 2022-01-01 DOI:10.22394/1993-7601-2022-67-121-143

E. Kossova, B. Potanin

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引用次数: 0

摘要

我们提出了一种假设随机误差联合正态性的多项内生开关模型的两步估计方法。模拟数据分析表明，当不相关替代的独立性(IIA)假设被违反时，我们的方法优于流行的替代方法。我们也应用我们的方法来估计婚姻男性溢价。我们发现统计证据表明，这种溢价对正式结婚的男性是负的，对非正式结婚的男性是正的。

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Estimation of Gaussian multinomial endogenous switching model

We propose a two‐step estimation procedure for multinomial endogenous switching model assuming joint normality of random errors. Simulated data analysis suggests that our method outperforms popular alternatives when independence of irrelevant alternatives (IIA) assumption is violated. We also apply our method to estimate marriage male premium. We have found statistical evidence that this premium is negative for officially married men and positive for unofficially married men.

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.