This paper provides a side-by-side comparison of loan-level statistical models for fixed- and adjustable-rate mortgages. Multinomial logit models for quarterly conditional probabilities of default and prepayment are estimated. We find that the estimated impacts of embedded option values for prepayment and default are generally quite similar across both FRM and ARM loans, providing additional empirical support for the basic predictions of the options theory. We also find that differences in estimates of conditional probabilities of prepayment and default associated with mortgage age, origination period, original LTV, and relative loan size, indicate the continued significance of these other economic and demographic factors for empirical models of mortgage terminations. 相似文献
This paper considers welfare analysis with therandom utility model (RUM) when perceptions ofenvironmental quality differ from objectivemeasures of environmental quality. Environmental quality is assumed to be anexperience good, so that while perceptions ofquality determine choices, ex postutility is determined by objective quality. Given this assumption, I derive a measure ofthe welfare impact of changes in environmentalquality, and I show how this new welfaremeasure differs from the traditional welfaremeasure developed by Hanemann (1982). This newwelfare measure provides an approach tomeasuring the value of information aboutenvironmental quality within the framework ofthe random utility model. 相似文献
Abstract. This survey presents the set of methods available in the literature on selection bias correction, when selection is specified as a multinomial logit model. It contrasts the underlying assumptions made by the different methods and shows results from a set of Monte Carlo experiments. We find that, in many cases, the approach initiated by Dubin and MacFadden (1984) as well as the semi-parametric alternative recently proposed by Dahl (2002) are to be preferred to the most commonly used Lee (1983) method. We also find that a restriction imposed in the original Dubin and MacFadden paper can be waived to achieve more robust estimators. Monte Carlo experiments also show that selection bias correction based on the multinomial logit model can provide fairly good correction for the outcome equation, even when the IIA hypothesis is violated. 相似文献
In the context of environmental sustainability evaluation, grouped under climate change, health and ecosystem themes, an impact that could be investigated is the Global Warming Potential (GWP), whose sources are a multitude. In urban areas the evaluation of real vehicles emissions is an essential activity in order to suggest possible solution to local administrators. They still express the need to improve and maintain the characteristics of the breathing air at the best possible quality level. Moreover, these solutions, such as planning measures or traffic control management in respect of pollution, would be apply at different geographical levels, i.e. national, regional or urban scale. Another factor to be investigated is the effect of technologies and emission control systems to comply more stringent limits (Euro 4/5/6) and improve air quality to a lower environmental impact. GWP, indicator of climate change, is measured in terms of CO2 equivalency emission values variable. To perform this activity an experimental campaign was carried out with several vehicles from different manufacturers and with a wide variety in terms of mass, power, engine displacement and type approval technology. The experimental plan includes some repetitions of the urban section in Naples city centre.The purpose of this paper is twofold: first, to provide a strategy on the choice of a logistic model with ordinal data and with trend, and, second, to evaluate the usefulness of such models for environmental sustainability (CO2 and other vehicular pollutant emissions), with particular emphasis on model formulation, the interpretation of model coefficients, and the implications of such models. 相似文献
This paper examines the impact of public news sentiment on the volatility states of firm-level returns on the Japanese Stock market. We firstly adopt a novel Markov Regime Switching Long Memory GARCH (MRS-LMGARCH), which is employed to estimate the latent volatility states of intraday stock return. By using the RavenPack Dow Jones News Analytics database, we fit discrete choice models to investigate the impact of news sentiment on changes of volatility states of the constituent stocks in the TOPIX Core 30 Index. Our findings suggest that news occurrence and sentiment, especially those of macro-economic news, are a key factor that significantly drives the volatility state of Japanese stock returns. This provides essential information for traders of the Japanese stock market to optimize their trading strategies and risk management plans to combat volatility. 相似文献
Mixed logit models represent a powerful discrete choice analytical model but require assumptions about the functional form
of the parameter distributions. The use of unbounded distributions, such as the normal distribution, may be regarded as unsuitable
where theory indicates that all are negatively affected by increases in an attribute, such as price. Bounded distributions
such as the triangular and log-normal are unable to model the case where a section of the population is indifferent towards
an attribute, while the remainder are negatively disposed toward it. Train and Sonnier’s bounded mixed logit model accommodates
these features and is employed in this paper. A censored normal and Johnson’s Sb distribution are used to model preferences in the UK for food attributes, including price and GM technology. Bi-modal distributions
are identified regarding GM food: some are unlikely to ever consume it, some are close to indifference and willing to consume
at relatively small discounts while the remainder are fairly unresponsive to further price reductions. 相似文献
Objective: To investigate preferences for fertility treatment from the Australian general population with the aims of calculating the willingness to pay in tax contribution for attributes (characteristics) that make up treatment and for an “ideal” fertility treatment program. We also assessed whether willingness-to-pay varies by the relationship status or sexual orientation of the patient.
Methods: A stated preference discrete choice experiment was administered to a panel of 801 individuals representative of the Australian general population. Seven attributes of fertility treatment under three broad categories were included: outcome, process, and cost. Attributes were identified through published literature, focus group discussions, expert knowledge, and a pilot study. A Bayesian fractional experimental design was used, and data analysis was performed using a generalized multinomial logit model. Further analyses included interaction terms and latent class modeling.
Results: Six of the seven attributes influenced the choice of a treatment program. Under process attributes, individuals preferred: continuity of care of clinic staff, where patients are seen by the same doctor but different nurses at each visit; “alternative” treatments being offered to all patients; and onsite clinic counseling and peer-support groups. Personalization and tailoring of the treatment journey were not important. Among outcome attributes, the improved success rate of having a baby per cycle and significant side-effects were considered important. Cost of treatment also influenced the choice of treatment program. Individual preferences for fertility treatment were not associated with patients’ relationship status or sexual orientation. Latent class modeling revealed sub-groups with distinct fertility treatment preferences.
Conclusion: This study provides important insights into the attributes that influence the preferences of fertility treatment in Australia. It also estimates socially-inclusive willingness-to-pay values in tax contributions for an “ideal” package of treatment. The results can inform economic evaluations of fertility treatment programs. 相似文献
Multinomial Logit Model has analyzed the relationship between the frequency of visits to recreation areas and the motivational factors affecting the visits. Kastro Environment Preserving Site that is located in the Black Sea coast of Marmara region in Turkey, has been chosen as the site for this study. Kastro bay is a natural park that is visited only for recreational visits. The study has been conducted on a photogenic study group due to the proximity factor of Kastro bay close to Istanbul. Kastro bay is a popular recreational park due to its characteristic advantages such as a 200 m wide and approximately 2.5 km long beach and with its high quality vegetation. The vegetation type includes ash tree, oak tree, black pine, sand lily etc. Kastro bay is also the site for the Mediterranean seals (Monachus-monachus) which are at the level of extinction. Approximately 50,000 visitors visit the region during the months of July and August. It has been concluded that there is high direct correlation between the frequency of visits and the motivational factors. It has been determined that the visits are mostly based on the sea and the ecological tourism.Jel: O13, Q20, Q26, Q51, Q56, Q57 相似文献
The modified logit model (Amemiya and Nold, 1975) is generalised to the case where the error term is autocorrelated. The
asymptotic distribution (as n →∞ and T →∞) of a feasible GLS estimator of β is derived. Tests of linear restrictions on β and the significance of ρ are presented.
The results of the applied work suggest that the factors which explain the pricing behaviour of manufacturing firms, as reported
in the tendency survey conducted by the Australian Chamber of Commerce and Industry and the Westpac Banking Corporation, include
historical inflation rates of up to 7 quarters and capacity utilisation.
First version received: March 2001/Final version received: July 2002
RID="*"
ID="*" The first draft of this paper was written while the author was on study leave at the Department of Econometrics, University
of Sydney, Australia. 相似文献