A Comparison of Bayesian and Sampling Theory Inferences in a Probit Model

Griffiths, W. E., Hill, R. C. and O'Donnell, C. J. (2006). A Comparison of Bayesian and Sampling Theory Inferences in a Probit Model. In M. Holt and J-P. Chavas (Ed.), Essays in Honor of Stanley R. Johnson (pp. 1-13) Online: Berkley Electronic Press.


Author Griffiths, W. E.
Hill, R. C.
O'Donnell, C. J.
Title of chapter A Comparison of Bayesian and Sampling Theory Inferences in a Probit Model
Title of book Essays in Honor of Stanley R. Johnson
Place of Publication Online
Publisher Berkley Electronic Press
Publication year 2006
Sub-type Non-fiction
Editor M. Holt
J-P. Chavas
ISBN not found
Start page 1
End page 13
Total pages 13
Total chapters 21
Collection year 2006
Language eng
Subjects 340302 History of Economic Thought
729999 Economic issues not elsewhere classified
780101 Mathematical sciences
BX
Abstract/Summary HE PROBIT MODEL IS A POPULAR DEVICE for explaining binary choice decisions in econometrics. It has been used to describe choices such as labor force participation, travel mode, home ownership, and type of education. These and many more examples can be found in papers by Amemiya (1981) and Maddala (1983). Given the contribution of economics towards explaining such choices, and given the nature of data that are collected, prior information on the relationship between a choice probability and several explanatory variables frequently exists. Bayesian inference is a convenient vehicle for including such prior information. Given the increasing popularity of Bayesian inference it is useful to ask whether inferences from a probit model are sensitive to a choice between Bayesian and sampling theory techniques. Of interest is the sensitivity of inference on coefficients, probabilities, and elasticities. We consider these issues in a model designed to explain choice between fixed and variable interest rate mortgages. Two Bayesian priors are employed: a uniform prior on the coefficients, designed to be noninformative for the coefficients, and an inequality restricted prior on the signs of the coefficients. We often know, a priori, whether increasing the value of a particular explanatory variable will have a positive or negative effect on a choice probability. This knowledge can be captured by using a prior probability density function (pdf) that is truncated to be positive or negative. Thus, three sets of results are compared:those from maximum likelihood (ML) estimation, those from Bayesian estimation with an unrestricted uniform prior on the coefficients, and those from Bayesian estimation with a uniform prior truncated to accommodate inequality restrictions on the coefficients.
Q-Index Code BX
Additional Notes no ISBN available, electronic publication only OCLC # 212379500

 
Versions
Version Filter Type
Citation counts: Google Scholar Search Google Scholar
Access Statistics: 127 Abstract Views  -  Detailed Statistics
Created: Tue, 14 Aug 2007, 12:54:23 EST