A high-dimensional multinomial logit model

IF 2.3 3区 经济学 Q2 ECONOMICS
Didier Nibbering
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Abstract

The number of parameters in a standard multinomial logit model increases linearly with the number of choice alternatives and number of explanatory variables. Because many modern applications involve large choice sets with categorical explanatory variables, which enter the model as large sets of binary dummies, the number of parameters in a multinomial logit model is often large. This paper proposes a new method for data-driven two-way parameter clustering over outcome categories and explanatory dummy categories in a multinomial logit model. A Bayesian Dirichlet process mixture model encourages parameters to cluster over the categories, which reduces the number of unique model parameters and provides interpretable clusters of categories. In an empirical application, we estimate the holiday preferences of 11 household types over 49 holiday destinations and identify a small number of household segments with different preferences across clusters of holiday destinations.

Abstract Image

高维多项式对数模型
标准多二项 logit 模型的参数数与选择方案数和解释变量数呈线性增长。由于许多现代应用涉及带有分类解释变量的大型选择集,而这些解释变量又是以大型二元虚拟变量集的形式进入模型的,因此多二项 logit 模型中的参数数量往往很大。本文提出了一种在多二项 logit 模型中对结果类别和解释性虚拟类别进行数据驱动双向参数聚类的新方法。贝叶斯狄利克特过程混合模型鼓励参数按类别聚类,从而减少了唯一模型参数的数量,并提供了可解释的类别聚类。在实证应用中,我们估算了 11 种家庭类型对 49 个度假目的地的度假偏好,并在度假目的地集群中发现了少数具有不同偏好的家庭群体。
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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
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.
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