Article dans une série de papiers de travail :

Christophe Bontemps, Jeffrey S. Racine et Michel Simioni, « Nonparametric vs Parametric Binary Choice Models: An Empirical Investigation », TSE Working Paper, n°09-126, 16 décembre 2009.
[ Texte complet ]

Résumé

The estimation of conditional probability distribution functions (PDFs) in a kernel nonparametric framework has recently received attention. As emphasized by Hall, Racine & Li (2004), these conditional PDFs are extremely useful for a range of tasks including modelling and predicting consumer choice. The aim of this paper is threefold. First, we implement nonparametric kernel estimation of PDF with a binary choice variable and both continuous and discrete explanatory variables. Second, we address the issue of the performances of this nonparametric estimator when compared to a classic on-the-shelf parametric estimator, namely a probit. We propose to evaluate these estimators in terms of their predictive performances, in the line of the recent ”revealed performance” test proposed by Racine & Parmeter (2009). Third, we provide a detailed discussion of the results focusing on environmental insights provided by the two estimators, revealing some patterns that can only be detected using the nonparametric estimator.

Mots clefs

binary choice models, nonparametric estimation, specification tests

Groupe thématique TSE

Economie de l'Alimentation