Regression Modeling and Discrete Choice Analysis with Cross Section and Panel Data: 2014
Professor William. Greene
Home Page: http://people.stern.nyu.edu/wgreene
This course will survey techniques used in modeling cross section and panel data. Emphasis will be on discrete data, though results and techniques are mostly generic and will extend to other modeling frameworks. Discrete choice models have become an essential tool in modeling individual behavior. The techniques are used in all social sciences, health economics, medical research, marketing research, transport research, and in a constellation of other disciplines. This course will examine a large number of models and techniques used in these studies. We will begin with a brief review of regression modeling concepts, then turn to the fundamental building block in discrete choice modeling, the binary choice model. Several variants and extensions will be discussed before we turn attention to multiple equation binary choice models, ordered choice models and models for counts. The second half of the course will be devoted to multinomial choice models of the sort used, e.g., in modeling brand choice in marketing, travel mode choice in transport, and a huge variety of applications in the social and behavioral sciences.
The course will include lectures that develop the relevant theory and extensive practical, laboratory applications. Emphasis in the laboratory sessions will be on estimation of discrete choice models and using them to describe behavior and to predict discrete outcomes. Course participants will apply the techniques on their own computers using the NLOGIT computer program and several real data sets that have been used in applications already in the literature.
This website provides materials that will be used in the course as well as additional resources that students might want to use to explore on their own the material presented in the course. We will only use a few of the data sets. The articles are provided for self study. We will not be working through them in detail, though some of them will be superficially examined as applications of the methods discussed in class.
Prior knowledge is assumed to include calculus at the level assumed in the first year of a Ph.D. program in economics and a course in econometrics at the beginning Ph.D. level out of a textbook such as Greene, W., Econometric Analysis, 7th edition. Familiarity with NLOGIT will be helpful, but is not necessary. Two useful reference books for the course are the primer Applied Choice Analysis by David Hensher, John Rose and William Greene (Cambridge University Press, 2005) and the survey monograph, Modeling Ordered Choices by William Greene and David Hensher (Cambridge University Press, 2010). An up to date and comprehensive survey of econometric theory that is a bit more advanced than needed for our purposes is Wooldridge, J., Econometric Analysis of Cross Section and Panel Data, 2nd ed., MIT Press, 2010.
Students in this course will obtain background in both the theory and methods of estimation for discrete choice modeling. This course will provide a gateway to the professional literature as well as practical applications of the methods at the level of the contemporary research in the field. Emphasis in the course is on applications of methods. Derivations of, e.g., asymptotic properties of estimators, and theoretical fine points, such as the implications of different types of independence assumptions in panel data models are left for more advanced treatments.
Background Material and Related Topics
No specific textbook is assigned for the course. Some of the presentation will be based on Econometric Analysis, 7th ed., by Greene, W. (Prentice Hall, 2012). 6 chapters are included below:
Left click to open. Right click to download. (These are PDF and pptx files.)
Greene, W., Econometric Analysis, 7th Ed.
Correcting estimated standard errors in the presence of clustering (Wooldridge, 2003)
Modeling endogeneity in nonlinear models (Terza, Basu, Rathouz, 2008)
Interaction effects in nonlinear models (Greene, 2010)
Modeling dynamic effects in nonlinear models (Wooldridge, 2005)
These are class notes on some specific topics related to modeling individual behavior.
The following are two descriptive papers that introduce modern forms of discrete choice models and some survey papers on specific topics in discrete choice modeling.
Left click to open. Right click to download. (These are PDF files.)
We will study four models that comprise the foundation for discrete choice modeling:
1. The fundamental model of binary choice (and a number of variants);
2. Models for ordered choices;
3. The Poisson regression model for count data;
4. The fundamental model for multinomial choice, the multinomial logit model.
The course will consist of discussions and laboratory sessions which will apply the techniques to live data sets and some time devoted to topics, discussions and laboratory work on student projects. Discussions will cover the topics listed below. Lab sessions will apply the techniques discussed in the preceding sessions. Practicals will consist of directed exercises and student assignments to be completed singly or in groups.
For the materials below, left click to open, right click to download.
I. Class Notes: These are Powerpoint slide presentations for use during the class sessions.
II. Exercises: Exercises and Practicals for Discrete Choice Modeling.
A. Scripted Exercises: These are exercises for the student to do with the instructor. Note there are two parts to each, the .pdf file for the assignment and the .lim file that contains the NLOGIT commands.
B. Additional Exercises.
III. Data Sets: These are NLOGIT project (.lpj) files. Each is also provided in the portable comma separated values (csv) format.
IV. NLOGIT Software: This section contains a brief introduction and two manuals: The short introduction is a getting started. The LIMDEP manual explains the basics of using LIMDEP and NLOGIT. (LIMDEP is embedded in NLOGIT). The NLOGIT manual contains descriptions of how to use the special features for discrete choice modeling with NLOGIT (as well as some additional material on other discrete choice models that are also contained in LIMDEP). The setup file contains an installation kit for installing a copy of NLOGIT made specially for this course on your own computer. You should download the setup file to your own computer and execute it there, rather than launching it from your web browser.
These are Powerpoint slide presentations that explain using NLOGIT and how to do the assignments.
These are short manuals that document how to use the program:
This is the installation kit for installing the program. Download this file to your computer before you use it to install NLOGIT on your computer.