Chuppter 24
ECONOMETRIC ANALYSIS OF QUALITATIVE
RESPONSE MODELS
DANIEL L. MCFADDEN
Massachusetts Institute of Technology
Contents
1. The problem 1396
2. Binomial response models 1396
2.1. Latent variable specification 1396
2.2. Functional forms 1397
2.3. Estimation 1398
2.4. Contingency table analysis 1400
2.5. Minimum &i-square method 1400
2.6. Discriminant analysis 1401
3. Multinomial response models 1403
3.1. Foundations 1403
3.2. Statistical analysis 1406
3.3. Functional form 1410
3.4. The multinomial logit model 1411
3.5. Independence from irrelevant alternatives 1413
3.6. Limiting the number of alternatives 1415
3.7. Specification tests for the MNL model 1417
3.8. Multinomial probit 1418
3.9. Elimination models 1420
3.10. Hierarchical response models 1422
3.11. An empirical example 1428
4. Further topics 1433
4.1. Extensions 1433
4.2. Dynamic models 1433
4.3. Discrete-continuous systems 1434
4.4. Self-selection and biased samples 1436
4.5. Statistical methods 1439
5. Conclusion 1442
Appendix: Proof outlines for Theorems l-3 1442
References 1446