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| Author: | Hsu, A. Wilcox, R. T. |
| Title: | Stochastic prediction in multinomial logit models |
| Journal: | Management Science
2000 : AUG, VOL. 46:8, p. 1137-1144 |
| Index terms: | ECONOMETRIC MODELS LOGIT MODELS STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | It is strandard practice to form predictions from multinominal logit models by ignoring the estimation error associated with the parameter estimates and solving for the predicted endogenous variable (market share) in terms of the exogenous variables and the point estimates of the parameters. The authors offer a simulation-based approach for approximating the exact stochastic prediction. |
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