The 2010 Medici Summer School in Management Studies. William Greene Department of Economics Stern School of Business
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1 The 2010 Medici Summer School in Management Studies William Greene Department of Economics Stern School of Business
2 Econometric Models When There Are Unusual Events
3 Part 5: Binary Outcomes
4 Agenda General modeling for binary choices Problem of unbalanced data rare events A proposed statistical approach Application to credit card defaults
5 Model Framework Binary outcome: Default in time period [t,t+δ] is 0/1, yes or no Covariates: Economic conditions, individual characteristics Linear regression is inappropriate
6 Simple Binary Choice: Public Insurance
7 Censored Health Satisfaction Scale 0 = Not Healthy 1 = Healthy
8 Default by Credit Cardholders
9 Modeling the Event Discriminant analysis and Z scores Two populations Membership is unknown a priori Discriminant function Z = a + bx is used to classify: If Z > a, classify as group 1 (default) Binary choice analysis One population Membership is only probabilistic Random utility function, U* = a + bx + e Utility function implies a probability of group 1
10 A Random Utility Approach Underlying Preference Scale, U*(x 1 ) Revelation of Preferences: U*(x 1 ) < 0 ===> Choice 0 U*(x 1 ) > 0 ===> Choice 1
11 A Model for Binary Choice Yes or No decision (Buy/Not buy, Do/Not Do) Example, choose to visit physician or not Model: Net utility of visit at least once U visit = + 1 Age + 2 Income + Sex + Choose to visit if net utility is positive Net utility = U visit U not visit Data: X = [1,age,income,sex] y = 1 if choose visit, Uvisit > 0, 0 if not.
12 What Can Be Learned from the Data? (A Sample of Consumers, i = 1,,N) Are the characteristics relevant? Predicting behavior - Individual Will a person buy the add-on insurance? Will a particular bondholder default? - Aggregate What proportion of the population will buy the add-on insurance? What proportion of bonds will default? Analyze changes in behavior when attributes change E.g., how will changes in education change the proportion who buy the insurance?
13 Choosing Between the Two Alternatives Modeling the Binary Choice U visit = + 1 Age + 2 Income + 1 Sex + Chooses to visit: U visit > Age + 2 Income + 1 Sex + > 0 > -[ + 1 Age + 2 Income + 1 Sex ]
14 Probability Model for Choice Between Two Alternatives > -[ + 1 Age + 2 Income + 3 Sex ]
15 An Econometric Model Choose to visit iff Uvisit > 0 Uvisit = + 1 Age + 2 Income + 3 Sex + Uvisit > 0 > -( + 1 Age + 2 Income + 3 Sex) Probability model: For any person observed by the analyst, Prob(visit) = Prob[ > -( + 1 Age + 2 Income + 3 Sex) Note the relationship between the unobserved and the outcome
16 + 1 Age + 2 Income + 3 Sex
17 Modeling Approaches Nonparametric relationship Minimal Assumptions Minimal Conclusions Semiparametric index function Stronger assumptions Robust to model misspecification (heteroscedasticity) Still weak conclusions Parametric Probability function and index Strongest assumptions complete specification Strongest conclusions Possibly less robust. (Not necessarily)
18 Nonparametric Regressions P(Visit)=f(Income) P(Visit)=f(Age)
19 Parametric Model Estimation How to estimate, 1, 2, 3? It s not regression The technique of maximum likelihood L Prob[ y 0] Prob[ y 1] Prob[y=1] = y 0 y 1 Prob[ > -( + 1 Age + 2 Income + 3 Sex)] Prob[y=0] = 1 - Prob[y=1] Requires a model for the probability
20 Estimated Binary Choice Models LOGIT PROBIT EXTREME VALUE Variable Estimate t-ratio Estimate t-ratio Estimate t-ratio Constant Age Income Sex Log-L Log-L(0)
21 Effect on Predicted Probability of an Increase in Age + 1 (Age+1) + 2 (Income) + 3 Sex ( 1 is positive)
22 Marginal Effects in Probability Models Prob[Outcome] = some F( + 1 Income ) Partial effect = F( + 1 Income ) / x (derivative) Partial effects are derivatives Result varies with model Logit: F( + 1 Income ) / x = Prob * (1-Prob) * Probit: F( + 1 Income )/ x = Normal density * Extreme Value: F( + 1 Income )/ x = Prob * (-log Prob) * Scaling usually erases model differences
23 Estimated Partial Effects
24 Marginal Effect for a Dummy Variable Prob[y i = 1 x i,d i ] = F( x i + d i ) = conditional mean Marginal effect of d Prob[y i = 1 x i,d i =1]- Prob[y i = 1 x i,d i =0] Probit: ( d ) ˆ x ˆ ˆ x i
25 Average Partial Effects Probability = P F( ' x ) i P F( ' x ) i i Partial Effect = f ( ' xi) = di xi xi 1 n Average Partial Effect = d i 1 i n are estimates of =E[d ] under certain assumptions. i i
26 P = F(age, age 2, income, female) Nonlinear Effect Binomial Probit Model Dependent variable DOCTOR Log likelihood function Restricted log likelihood Chi squared [ 4 d.f.] Significance level Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Index function for probability Constant *** AGE *** AGESQ.00091*** INCOME * FEMALE.39666*** Note: ***, **, * = Significance at 1%, 5%, 10% level
27 Nonlinear Effects
28 Partial Effect for Nonlinear Terms Prob [ Age Age Income Female] Prob Age [ Age Age Income Female] ( 2 Age) (1) Must be computed for a specific value of Age (2) Compute standard errors using delta method or Krinsky and Robb. (3) Compute confidence intervals for different values of Age. (4) Test of hypothesis that this equals zero is identical to a test that (β + 2β Age) = 0. Is this an interesting hypothesis? 1 2
29 Confidence Limits for Partial Effects
30 Model for Visit Doctor
31 Simple Partial Effects
32 Direct Effect of Age
33 A Problem of Unbalanced Samples Either 0 or 1 heavily dominates the sample Regression methods work poorly or not at all Estimates are imprecise and highly variable Meanings of probabilities and model estimates are questionable
34 Default by Cardholders
35 Add On Insurance Purchase
36 King and Zeng on Rare Events King, G. and Zeng, L., Logistic Regression in Rare Events Data (Available online) King, G. and Zeng, L., Explaining Rare Events in International Relations, International Organization, 55, 3, Summer 2001.
37 Bias correction Proposed Approaches Choice based sampling Sample is sweetened to increase proportion of events that occur Estimates and standard errors are corrected for the nonrandom sampling.
38 A Travel Application: Sydney/Melbourne Fly Ground
39 Choice Based Sample for a Travel Application Sample Population Weight Fly 27.62% 14% Ground 72.38% 86%
40 Choice Based Sampling Correction Maximize Weighted Log Likelihood Covariance Matrix Adjustment V = H -1 G H -1 (all three weighted) H = Hessian G = Outer products of gradients
41 Effect of Choice Based Sampling GC = a general measure of cost TTME = terminal time HINC = household income Unweighted Variable Coefficient Standard Error b/st.er. P[ Z >z] Constant GC TTME HINC Weighting variable CBWT Corrected for Choice Based Sampling Variable Coefficient Standard Error b/st.er. P[ Z >z] Constant GC TTME HINC
42 Modeling Default American Express Cardholders Applications: 13,444 Acceptances: 10,499 Not representative of the population Default Application Accepted Acceptances: 10,499 Default: 996 Not representative of the population
43 Artificially Proportioned Sample True Sample
44 Application
45 Application to Default
46 An Integrated Model With Default and Spending
47 Influence of the Crucial Variable
48 Implication for a Policy Rule
49 Binary Choice Model Problems with Unusual Events Sparse ones Constant term correction WESML Implications for estimation and inference
50 What Did We Learn? Frailty of the model Role of crucial parameters Consequence of biased estimation A possible model/sample based improvement of the calculation
51 Part 6: Models for Counts
52 Application: Major Derogatory Reports AmEx Credit Card Holders N = 13,777 Number of major derogatory reports in 1 year Issues: Nonrandom selection Excess zeros
53 Histogram for Credit Data Histogram for MAJORDRG NOBS= 13444, Too low: 0, Too high: 0 Bin Lower limit Upper limit Frequency Cumulative Frequency ======================================================================== (.8095) (.8095) (.0971) (.9066) (.0397) (.9464) (.0181) (.9645) (.0104) (.9749) (.0082) (.9831) (.0043) (.9874) (.0028) (.9903) (.0024) (.9926) (.0021) (.9947) (.0013) (.9960) (.0016) (.9976) (.0004) (.9980) (.0007) (.9987) (.0004) (.9991) (.0002) (.9993) (.0002) (.9996) (.0001) (.9997) (.0000) (.9997) (.0000) (.9997) (.0000) (.9997) (.0002) (.9999) (.0001) (1.0000)
54 Doctor Visits
55 Basic Modeling for Counts of Events E.g., Visits to site, number of purchases, number of doctor visits Regression approach Quantitative outcome measured Discrete variable, model probabilities Poisson probabilities loglinear model j exp(-λ i)λi Prob[Y i = j xi] = j! λ = exp( β'x ) = E[y i i i x ] i
56 Poisson Model for Doctor Visits Poisson Regression Dependent variable DOCVIS Log likelihood function Restricted log likelihood Chi squared [ 6 d.f.] Significance level McFadden Pseudo R-squared Estimation based on N = 27326, K = 7 Information Criteria: Normalization=1/N Normalized Unnormalized AIC Chi- squared = RsqP=.0818 G - squared = RsqD=.0601 Overdispersion tests: g=mu(i) : Overdispersion tests: g=mu(i)^2: Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Constant.77267*** AGE.01763*** EDUC *** FEMALE.29287*** MARRIED HHNINC *** HHKIDS ***
57 Partial Effects Partial derivatives of expected val. with respect to the vector of characteristics. Effects are averaged over individuals. Observations used for means are All Obs. Conditional Mean at Sample Point Scale Factor for Marginal Effects E[y x x Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X AGE.05613*** EDUC *** FEMALE.93237*** MARRIED HHNINC *** HHKIDS *** i i i ] = λ β i
58 Poisson Model Specification Issues Equi-Dispersion: Var[y i x i ] = E[y i x i ]. Overdispersion: If i = exp[ x i + ε i ], E[y i x i ] = γexp[ x i ] Var[y i ] > E[y i ] (overdispersed) ε i ~ log-gamma Negative binomial model ε i ~ Normal[0, 2 ] Normal-mixture model ε i is viewed as unobserved heterogeneity ( frailty ). Normal model may be more natural. Estimation is a bit more complicated.
59 Negative Binomial Specification The Poisson estimator is consistent when there is unmeasured heterogeneity in the conditional mean.therefore, this is a case for the ROBUST covariance matrix estimator. (Neglected heterogeneity that is uncorrelated with x i.)
60 Negative Binomial Specification Prob(Y i =j x i ) has greater mass to the right and left of the mean Conditional mean function is the same as the Poisson: E[y i x i ] = λ i =Exp( x i ), so marginal effects have the same form. Variance is Var[y i x i ] = λ i (1 + α λ i ), α is the overdispersion parameter; α = 0 reverts to the Poisson. Poisson is consistent when NegBin is appropriate. Therefore, this is a case for the ROBUST covariance matrix estimator. (Neglected heterogeneity that is uncorrelated with x i.)
61 NegBin Model for Doctor Visits Negative Binomial Regression Dependent variable DOCVIS Log likelihood function NegBin LogL Restricted log likelihood Poisson LogL Chi squared [ 1 d.f.] Reject Poisson model Significance level McFadden Pseudo R-squared Estimation based on N = 27326, K = 8 Information Criteria: Normalization=1/N Normalized Unnormalized AIC NegBin form 2; Psi(i) = theta Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Constant.80825*** AGE.01806*** EDUC *** FEMALE.32596*** MARRIED HHNINC *** HHKIDS *** Dispersion parameter for count data model Alpha ***
62 Poisson exp( i) i Prob[ Y yi xi], (1 y ) exp( x ), y 0,1,..., i 1,..., N i i i E[ y x ] Var[ y x ] i i i Model Formulations i y i E[y i x i ]=λ i
63 NegBin-1 Model Negative Binomial Regression Dependent variable DOCVIS Log likelihood function Restricted log likelihood NegBin form 1; Psi(i) = theta*exp[bx(i)] Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Constant.62584*** AGE.01428*** EDUC *** FEMALE.33028*** MARRIED.04324** HHNINC *** HHKIDS *** Dispersion parameter for count data model Alpha ***
64 NegBin-P Model Negative Binomial (P) Model Dependent variable DOCVIS Log likelihood function Restricted log likelihood Chi squared [ 1 d.f.] NB-2 NB-1 Poisson Variable Coefficient Standard Error b/st.er Constant.60840*** AGE.01710*** EDUC *** FEMALE.36386*** MARRIED.03670* HHNINC *** HHKIDS *** Dispersion parameter for count data model Alpha *** Negative Binomial. General form, NegBin P P ***
65 Marginal Effects for Different Models Scale Factor for Marginal Effects POISSON Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X AGE.05613*** EDUC *** FEMALE.93237*** MARRIED HHNINC *** HHKIDS *** Scale Factor for Marginal Effects NEGATIVE BINOMIAL - 2 AGE.05767*** EDUC *** FEMALE *** MARRIED HHNINC *** HHKIDS *** Scale Factor for Marginal Effects NEGATIVE BINOMIAL - 1 AGE.04547*** EDUC *** FEMALE *** MARRIED.13766** HHNINC *** HHKIDS *** Scale Factor for Marginal Effects NEGATIVE BINOMIAL - P AGE.05143*** EDUC *** FEMALE *** MARRIED.11038* HHNINC *** HHKIDS ***
66 Zero Inflation ZIP Models Two regimes: (Recreation site visits) Zero (with probability 1). (Never visit site) Poisson with Pr(0) = exp[- x i ]. (Number of visits, including zero visits this season.) Unconditional: Pr[0] = P(regime 0) + P(regime 1)*Pr[0 regime 1] Pr[j j >0] = P(regime 1)*Pr[j regime 1] Two inflation Number of children These are latent class models
67 Application: Major Derogatory Reports AmEx Credit Card Holders N = 13,777 Number of major derogatory reports in 1 year Issues: Nonrandom selection Excess zeros
68 Zero Inflation Models ZIP - tau = ZIP(τ) exp(-λ i)λi Prob(y i = j x i) =, λ i = exp( βxi) j! Prob(0 regime) = F( βx ) i j Zero Inflation = ZIP exp(-λ i)λi Prob(y i = j x i) =, λ i = exp( βxi) j! Prob(0 regime) = F( γz ) i j
69 Notes on Zero Inflation Models Poisson is not nested in ZIP. tau = 0 in ZIP(tau) or γ = 0 in ZIP does not produce Poisson; it produces ZIP with P(regime 0) = ½. Standard tests are not appropriate Use Vuong statistic. ZIP model almost always wins. Zero Inflation models extend to NB models ZINB(tau) and ZINB are standard models Creates two sources of overdispersion Generally difficult to estimate
70 ZIP(τ) Model Zero Altered Poisson Regression Model Logistic distribution used for splitting model. ZAP term in probability is F[tau x ln LAMBDA] Comparison of estimated models Pr[0 means] Number of zeros Log-likelihood Poisson Act.= Prd.= Z.I.Poisson Act.= Prd.= Note, the ZIP log-likelihood is not directly comparable. ZIP model with nonzero Q does not encompass the others. Vuong statistic for testing ZIP vs. unaltered model is Distributed as standard normal. A value greater than favors the zero altered Z.I.Poisson model. A value less than rejects the ZIP model Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Poisson/NB/Gamma regression model Constant *** AGE.01140*** EDUC *** FEMALE.13129*** MARRIED *** HHNINC *** HHKIDS *** Zero inflation model Tau ***
71 ZIP Model Zero Altered Poisson Regression Model Logistic distribution used for splitting model. ZAP term in probability is F[tau x Z(i) ] Comparison of estimated models Pr[0 means] Number of zeros Log-likelihood Poisson Act.= Prd.= Z.I.Poisson Act.= Prd.= Vuong statistic for testing ZIP vs. unaltered model is Distributed as standard normal. A value greater than favors the zero altered Z.I.Poisson model. A value less than rejects the ZIP model Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Poisson/NB/Gamma regression model Constant *** AGE.01100*** EDUC *** FEMALE.10943*** MARRIED *** HHNINC *** HHKIDS *** Zero inflation model Constant *** FEMALE *** EDUC.04114***
72 Marginal Effects for Different Models Scale Factor for Marginal Effects POISSON Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X AGE.05613*** EDUC *** FEMALE.93237*** MARRIED HHNINC *** HHKIDS *** Scale Factor for Marginal Effects NEGATIVE BINOMIAL - 2 AGE.05767*** EDUC *** FEMALE *** MARRIED HHNINC *** HHKIDS *** Scale Factor for Marginal Effects ZERO INFLATED POISSON AGE.03427*** EDUC *** FEMALE.97958*** MARRIED *** HHNINC *** HHKIDS ***
73 Two part model: A Hurdle Model Model 1: Probability model for more than zero occurrences Model 2: Model for number of occurrences given that the number is greater than zero. Applications common in health economics Usage of health care facilities Use of drugs, alcohol, etc.
74 Hurdle Model Two Part Model Prob[y > 0] = F( γ'x) Prob[y=j] Prob[y=j] Prob[y = j y > 0] = = Prob[y>0] 1 Pr ob[y 0 x] A Poisson Hurdle Model with Logit Hurdle exp( γ'x) Prob[y>0]= 1+exp( γ'x ) j exp(- ) Prob[y=j y>0,x]=, =exp( β'x) j![1 exp(- )] F( γ'x)exp( β'x) E[y x] =0 Prob[y=0]+Prob[y>0] E[y y>0] = 1-exp[-exp( β'x )] Marginal effects involve both parts of the model.
75 Hurdle Model for Doctor Visits Poisson hurdle model for counts Dependent variable DOCVIS Log likelihood function Restricted log likelihood Chi squared [ 1 d.f.] Significance level McFadden Pseudo R-squared Estimation based on N = 27326, K = 10 LOGIT hurdle equation Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Parameters of count model equation Constant *** AGE.01088*** EDUC *** FEMALE.10244*** MARRIED *** HHNINC *** HHKIDS *** Parameters of binary hurdle equation Constant.77475*** FEMALE.59389*** EDUC ***
76 Partial Effects Partial derivatives of expected val. with respect to the vector of characteristics. Effects are averaged over individuals. Observations used for means are All Obs. Conditional Mean at Sample Point.0109 Scale Factor for Marginal Effects Variable Coefficient Standard Error b/st.er. P[ Z >z] Mean of X Effects in Count Model Equation Constant AGE EDUC FEMALE MARRIED HHNINC HHKIDS Effects in Binary Hurdle Equation Constant.86178*** FEMALE.66060*** EDUC *** Combined effect is the sum of the two parts Constant * EDUC *** FEMALE.96915***
77 Quantile Regression for Counts Machado, A. and J. Santos Silva, Quantiles for Counts, Journal of the American Statistical Association, 100, 472, 2005, pp
78 Quantile Regression for Counts Comparable to quantile regression for a continuous variable Sensitivity to outlying observations is less a problem for count data estimators than for regressions ML, not least squares Quantiles for counts may be more interestintg
79 Unusual Counts
80 Mean vs. Median Regression Poisson Regression LHS=MAJORDRG Mean = Standard deviation = Number of observs. = Standard Prob. Mean MAJORDRG Coefficient Error z z> Z of X Constant *** AGE.01388*** ACADMOS.00180*** OWNRENT *** HINC SELFEMPL Quantile Regression Model. Quantile = Minimum = t= quantile = Maximum = Constant *** AGE.01249*** ACADMOS.00248*** OWNRENT HINC.05112* SELFEMPL
81 Partial Effects Partial derivatives of expected val. with respect to the vector of characteristics. Effects are averaged over individuals. Observations used for means are All Obs. Conditional Mean at Sample Point.4628 Scale Factor for Marginal Effects Standard Prob. Mean MAJORDRG Coefficient Error z z> Z of X AGE.00642*** ACADMOS.00083***.9631D OWNRENT *** HINC SELFEMPL Partial Effects for Quantile Count Regression Variable Value Partial Effect Semi-Elasticity AGE ACADMOS *OWNRENT HINC *SELFEMPL * = Dummy variable. Other variables fixed at means
82 What Have We Learned? Models for Count Data Data sets contain unusual configurations Preponderance of zeros Unusually large observations For the preponderance of zeros case, build a richer specification Zero inflation models Two part or hurcle models For the unusually large observations, a quantile regression may be more interesting
83 Wild Observations Dialysis patients? Any broad model will assign infinitesimally small probabilities. These observations will not be explained by the model.
84 Part 7: What Have We Learned?
85 Rare Events vs. Unusual Events Assigning probabilities: What function do probabilities serve? Using information from experts a Bayesian approach Rare events are not merely events that have low probability in the context of the sampling frame. Rare events are essentially outside the realm of historical experience and therefore outside the reach of econometric models Events with low probability in that frame are unusual
86 Econometric Modeling Perhaps it is too ambitious to hope to build econometric models for rare events Models can be readily extended to accommodate unusual events within the context of the sampling frame.
87 Unusual Events and Outliers Outliers are unusual in the context of the model Outlier is a subjective term. Computers cannot appropriately determine that observations are outliers Models may be merely inadequate. Outliers may be a consequence of the specification.
88 A Poisson Model is Inappropriate Experiment: Pick an individual from the population and assign a probability to the observed outcome = number of visits. For the K = 51: 1/27326 = ? This will vastly overestimate the probability. Costly. By a Poisson model: K exp(-μ)μ P(K) =,μ =E[K] = K! P(51) = ???
89 Regression Modeling Outliers and unusual observations in the context of the linear regression model Quantile regression model A way to immunize least squares from extreme observations A tool to study different features of the population (other than the conditional mean function)
90 Binary Choice Standard methods of modeling for binary outcomes Nonstandard situations Preponderance of ones or zeros Adjusting binary choice analysis for unusual events An adjustment to standard inference procedures, not a new modeling framework
91 Models for Count Data Standard methods of analyzing counts Nonstandard data sets have preponderance of zeros Two part models that accommodate two decisions Zero inflation models that accommodate a richer data generating process Extreme values Standard count methods are less affected Quantile models for counts are useful in the same way that quantile regression for continuous data is.
92 Econometric Models for Rare Events Econometric models assume there is and has been order in the universe. Rare events are outside the realm of this modeling paradigm. An event, by its nature, is not a draw from a stable data generating process. Hence, we build econometric models that accommodate unusual events.
93 Thank You! William Greene Department of Economics Stern School of Business
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