Hello,
I have a question about Clarify's approach to simulating expected
values for discrete choice models. The documentation states that
predicted and expected values are equivalent for these models. As I
understand it, the procedure for generating such values if as follows. I
am using the logit model as an example.
First, the estimp command is first used to generate M simulated
parameter vectors B1... BM based on the normal distribution with mean
equal to the estimated parameter vector and variance equal to the
estimated variance-covariance matrix. Second, the simqi command is used
to simulate a vector of predicted values PV for a given set of
independent variable values X' by taking a draw from the Bernoulli
distribution with p = 1/(1 + e^(-X'B)) for each of the M simulated
parameter vectors B1... BM. Typically, one then averages over the M
elements of PV and uses these the distribution of these values to
calculate confidence intervals.
What is not completely clear to me is why expected and predicted values
are the same for logit and other discrete choice models. For example, I
can imagine that, with the M simulated parameter vectors B1... BM in
hand and a given set of independent variable values X', one might skip
the draw from the Bernoulli distribution and simply calculate a
"predicted" probability (using the logit formula) for each parameter
vector, and then average these. I realize that the M "predicted"
probabilities would not be predicted values in a strict sense, since the
dep var is 0/1. However, wouldn't they be more akin to expected values,
because they would be based entirely on estimation uncertainty
(reflected when the M vectors B1 ... Bm are drawn in the first place),
and would not reflect fundamental uncertainty, which is what it seems
to me that the draw from the Bernoulli distribution represents?
I hope that my question makes sense. Thanks in advance for your insights.
Regards,
Bennet Zelner
--
Prof. Bennet A. Zelner
Duke University
Fuqua School of Business
Box 90120
Durham, NC 27708-0120
bzelner(a)duke.edu
Tel +1 919 660-1093
Fax +1 919 681-6244