FRACTIONAL MULTINOMIAL RESPONSE MODELS WITH AN APPLICATION TO EXPENDITURE SHARES

Steven Koch

No 201021, Working Papers from University of Pretoria, Department of Economics

Abstract: The research presented here considers the performance of the Fractional Multinomial Logit (FMNL) model in explaining expenditure shares using data from the 2005/06 South African Income and Expenditure Survey. The results suggest that the FMNL performs favourably, when the dataset is large enough, but that it does not perform as well, when the dataset is limited. Expenditure elasticities were also estimated, and compared to the expenditure shares from a QUAIDS model. The resulting expenditure shares are fairly similar across model specification; however, the FMNL model does incorporate additional curvature, which is easily observed when comparing the QUAIDS elasticities to the FMNL elasticities.

Keywords: Expenditure Shares; Multinomial Fractional Logit. (search for similar items in EconPapers)
Pages: 27 pages
Date: 2010-10
New Economics Papers: this item is included in nep-afr, nep-dcm and nep-ecm
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201021

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