메뉴 건너뛰기




Volumn 31, Issue 4, 2012, Pages 567-586

Handling endogenous regressors by joint estimation using copulas

Author keywords

Copula method; Endogeneity; Instrumental variables; Linear regression model; Logit model; Random coefficient; Two stage least squares

Indexed keywords


EID: 84864974354     PISSN: 07322399     EISSN: 1526548X     Source Type: Journal    
DOI: 10.1287/mksc.1120.0718     Document Type: Article
Times cited : (509)

References (54)
  • 1
    • 0001055752 scopus 로고
    • Does compulsory school attendance affect schooling and earnings?
    • Angrist JD, Krueger AB (1991) Does compulsory school attendance affect schooling and earnings? Quart. J. Econom. 106(4):979-1014.
    • (1991) Quart. J. Econom. , vol.106 , Issue.4 , pp. 979-1014
    • Angrist, J.D.1    Krueger, A.B.2
  • 2
    • 0040332008 scopus 로고    scopus 로고
    • Instrumental variables and the search for identification: From supply and demand to natural experiments
    • Angrist JD, Krueger AB (2001) Instrumental variables and the search for identification: From supply and demand to natural experiments. J. Econom. Perspect. 15(4):69-85.
    • (2001) J. Econom. Perspect. , vol.15 , Issue.4 , pp. 69-85
    • Angrist, J.D.1    Krueger, A.B.2
  • 4
    • 85077390164 scopus 로고
    • Estimating discrete-choice models of product differentiation
    • Berry ST (1994) Estimating discrete-choice models of product differentiation. RAND J. Econom. 25(2):242-262.
    • (1994) RAND J. Econom. , vol.25 , Issue.2 , pp. 242-262
    • Berry, S.T.1
  • 5
    • 0029190847 scopus 로고
    • Automobile prices in market equilibrium
    • Berry S, Levinsohn J, Pakes A (1995) Automobile prices in market equilibrium. Econometrica 63(4):841-890.
    • (1995) Econometrica , vol.63 , Issue.4 , pp. 841-890
    • Berry, S.1    Levinsohn, J.2    Pakes, A.3
  • 6
    • 0032207336 scopus 로고    scopus 로고
    • Logit demand estimation under competitive pricing behavior: An equilibrium framework
    • Besanko D, Gupta S, Jain D (1998) Logit demand estimation under competitive pricing behavior: An equilibrium framework. Management Sci. 44(11, Part 1):1533-1547.
    • (1998) Management Sci. , vol.44 , Issue.11 PART 1 , pp. 1533-1547
    • Besanko, D.1    Gupta, S.2    Jain, D.3
  • 7
    • 84871768280 scopus 로고
    • Problems with instrumental variables estimation when the correlation between the instruments and the endogenous explanatory variable is weak
    • Bound J, Jaeger D, Baker R (1995) Problems with instrumental variables estimation when the correlation between the instruments and the endogenous explanatory variable is weak. J. Amer. Statist. Assoc. 90(430):443-450.
    • (1995) J. Amer. Statist. Assoc. , vol.90 , Issue.430 , pp. 443-450
    • Bound, J.1    Jaeger, D.2    Baker, R.3
  • 8
    • 0035537314 scopus 로고    scopus 로고
    • Unobserved retailer behavior in multimarket data: Joint spatial dependence in market shares and promotion variables
    • Bronnenberg BJ, Mahajan V (2001) Unobserved retailer behavior in multimarket data: Joint spatial dependence in market shares and promotion variables. Marketing Sci. 20(3):284-299.
    • (2001) Marketing Sci. , vol.20 , Issue.3 , pp. 284-299
    • Bronnenberg, B.J.1    Mahajan, V.2
  • 10
    • 0039220849 scopus 로고    scopus 로고
    • Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
    • Chao JC, Phillips PCB (1998) Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior. J. Econometrics 87(1):49-86.
    • (1998) J. Econometrics , vol.87 , Issue.1 , pp. 49-86
    • Chao, J.C.1    Phillips, P.C.B.2
  • 11
    • 0035437938 scopus 로고    scopus 로고
    • Endogeneity and heterogeneity in a probit demand model: Estimation using aggregate data
    • Chintagunta PK (2001) Endogeneity and heterogeneity in a probit demand model: Estimation using aggregate data. Marketing Sci. 20(4):442-456.
    • (2001) Marketing Sci. , vol.20 , Issue.4 , pp. 442-456
    • Chintagunta, P.K.1
  • 12
    • 20944446205 scopus 로고    scopus 로고
    • Beyond the endogeneity bias: The effect of unmeasured brand characteristics on household-level brand choice model
    • Chintagunta PK, Dubé J-P, Goh KY (2005) Beyond the endogeneity bias: The effect of unmeasured brand characteristics on household-level brand choice model. Management Sci. 51(5):832-849.
    • (2005) Management Sci. , vol.51 , Issue.5 , pp. 832-849
    • Chintagunta, P.K.1    Dubé, J-P.2    Goh, K.Y.3
  • 13
    • 33847082051 scopus 로고    scopus 로고
    • Structural modeling in marketing: Review and assessment
    • Chintagunta PK, Erdem T, Rossi PE, Wedel M (2006) Structural modeling in marketing: Review and assessment. Marketing Sci. 25(6):604-616.
    • (2006) Marketing Sci. , vol.25 , Issue.6 , pp. 604-616
    • Chintagunta, P.K.1    Erdem, T.2    Rossi, P.E.3    Wedel, M.4
  • 15
    • 79751493823 scopus 로고    scopus 로고
    • Modeling multivariate distributions using copulas: Applications in marketing
    • Danaher PJ, Smith MS (2011) Modeling multivariate distributions using copulas: Applications in marketing. Marketing Sci. 30(1):4-21.
    • (2011) Marketing Sci. , vol.30 , Issue.1 , pp. 4-21
    • Danaher, P.J.1    Smith, M.S.2
  • 16
    • 0002846209 scopus 로고    scopus 로고
    • Nonparametric density and regression estimation
    • DiNardo J, Tobias JL (2001) Nonparametric density and regression estimation. J. Econom. Perspect. 15(4):11-28.
    • (2001) J. Econom. Perspect. , vol.15 , Issue.4 , pp. 11-28
    • Di Nardo, J.1    Tobias, J.L.2
  • 17
    • 77958617602 scopus 로고    scopus 로고
    • Investigating the strategic influence of customer and employee satisfaction on firm financial performance
    • Dotson JP, Allenby GM (2010) Investigating the strategic influence of customer and employee satisfaction on firm financial performance. Marketing Sci. 29(5):895-908.
    • (2010) Marketing Sci. , vol.29 , Issue.5 , pp. 895-908
    • Dotson, J.P.1    Allenby, G.M.2
  • 18
    • 67651159381 scopus 로고    scopus 로고
    • Frugal IV alternatives to identify the parameter for an endogenous regressors
    • Ebbes P, Wedel M, Böckenholt U (2009) Frugal IV alternatives to identify the parameter for an endogenous regressors. J. Appl. Econometrics 24(3):446-468.
    • (2009) J. Appl. Econometrics , vol.24 , Issue.3 , pp. 446-468
    • Ebbes, P.1    Wedel, M.2    Böckenholt, U.3
  • 19
    • 31144452686 scopus 로고    scopus 로고
    • Solving and testing for regressor-error (in)dependence when no instrumental variables are available: With new evidence for the effect of education on income
    • Ebbes P, Wedel M, Böckenholt U, Steerneman AGM (2005) Solving and testing for regressor-error (in)dependence when no instrumental variables are available: With new evidence for the effect of education on income. Quant. Marketing Econom. 3(4):365-392.
    • (2005) Quant. Marketing Econom. , vol.3 , Issue.4 , pp. 365-392
    • Ebbes, P.1    Wedel, M.2    Böckenholt, U.3    Steerneman, A.G.M.4
  • 20
    • 0002344794 scopus 로고
    • Bootstrap methods: Another look at the jackknife
    • Efron B (1979) Bootstrap methods: Another look at the jackknife. Ann. Statist. 7(1):1-26.
    • (1979) Ann. Statist. , vol.7 , Issue.1 , pp. 1-26
    • Efron, B.1
  • 21
    • 0036627536 scopus 로고    scopus 로고
    • Two-step GMM estimation of the errors-in-variables model using high-order moments
    • Erickson T, Whited TM (2002) Two-step GMM estimation of the errors-in-variables model using high-order moments. Econometric Theory 18(3):776-799.
    • (2002) Econometric Theory , vol.18 , Issue.3 , pp. 776-799
    • Erickson, T.1    Whited, T.M.2
  • 22
    • 33646533039 scopus 로고
    • A semiparametric estimation procedure for dependence parameters in multivariate families of distributions
    • Genest C, Ghoudi K, Rivest LP (1995) A semiparametric estimation procedure for dependence parameters in multivariate families of distributions. Biometrika 82(3):543-552.
    • (1995) Biometrika , vol.82 , Issue.3 , pp. 543-552
    • Genest, C.1    Ghoudi, K.2    Rivest, L.P.3
  • 23
    • 83455200297 scopus 로고    scopus 로고
    • Identifying causal marketing mix effects using a regression discontinuity design
    • Hartmann W, Nair HS, Narayanan S (2011) Identifying causal marketing mix effects using a regression discontinuity design. Marketing Sci. 30(6):1079-1097.
    • (2011) Marketing Sci. , vol.30 , Issue.6 , pp. 1079-1097
    • Hartmann, W.1    Nair, H.S.2    Narayanan, S.3
  • 24
    • 0000250716 scopus 로고
    • Specification tests in econometrics
    • Hausman JA (1978) Specification tests in econometrics. Econometrica 46(6):1251-1272.
    • (1978) Econometrica , vol.46 , Issue.6 , pp. 1251-1272
    • Hausman, J.A.1
  • 25
    • 0001766028 scopus 로고
    • Common structure of statistical models of truncation, sample selection and limited dependent variables and a simple estimator for such models
    • Heckman JJ (1976) Common structure of statistical models of truncation, sample selection and limited dependent variables and a simple estimator for such models. Ann. Econom. Soc. Measurement 5(4):475-492.
    • (1976) Ann. Econom. Soc. Measurement , vol.5 , Issue.4 , pp. 475-492
    • Heckman, J.J.1
  • 26
    • 0000011585 scopus 로고
    • Dummy endogenous variables in a simultaneous equation system
    • Heckman JJ (1978) Dummy endogenous variables in a simultaneous equation system. Econometrica 46(4):931-959.
    • (1978) Econometrica , vol.46 , Issue.4 , pp. 931-959
    • Heckman, J.J.1
  • 28
    • 70350339786 scopus 로고
    • Simulation estimation for panel data models with limited dependent variables
    • Rao CR, Maddala GS, Vinod D, eds. (Elsevier Science, Amsterdam)
    • Keane MP (1993) Simulation estimation for panel data models with limited dependent variables. Rao CR, Maddala GS, Vinod D, eds. The Handbook of Statistics and Econometrics (Elsevier Science, Amsterdam), 545-572.
    • (1993) The Handbook of Statistics and Econometrics , pp. 545-572
    • Keane, M.P.1
  • 29
    • 0347354941 scopus 로고    scopus 로고
    • Bayesian and classical approaches to instrumental variable regression
    • Kleibergen F, Zivot E (2003) Bayesian and classical approaches to instrumental variable regression. J. Econometrics 114(1): 29-72.
    • (2003) J. Econometrics , vol.114 , Issue.1 , pp. 29-72
    • Kleibergen, F.1    Zivot, E.2
  • 30
    • 58149247907 scopus 로고    scopus 로고
    • Endogeneity and individual consumer choice
    • Kuksov D, Villas-Boas JM (2008) Endogeneity and individual consumer choice. J. Marketing Res. 45(6):702-714.
    • (2008) J. Marketing Res. , vol.45 , Issue.6 , pp. 702-714
    • Kuksov, D.1    Villas-Boas, J.M.2
  • 31
    • 0001512586 scopus 로고    scopus 로고
    • Constructing instruments for regressions with measurement error when no additional data are available, with an application to patents and R&D
    • Lewbel A (1997) Constructing instruments for regressions with measurement error when no additional data are available, with an application to patents and R&D. Econometrica 65(5): 1201-1213.
    • (1997) Econometrica , vol.65 , Issue.5 , pp. 1201-1213
    • Lewbel, A.1
  • 32
    • 77953575221 scopus 로고    scopus 로고
    • Forecasting marketing-mix responsiveness for new products
    • Luan Y, Sudhir JK (2010) Forecasting marketing-mix responsiveness for new products. J. Marketing Res. 47(3):444-457.
    • (2010) J. Marketing Res. , vol.47 , Issue.3 , pp. 444-457
    • Luan, Y.1    Sudhir, J.K.2
  • 33
    • 8644253167 scopus 로고    scopus 로고
    • Response modeling with nonrandom marketing-mix variables
    • November
    • Manchanda P, Rossi PE, Chintagunta PK (2004) Response modeling with nonrandom marketing-mix variables. J. Marketing Res. 41(November):467-478.
    • (2004) J. Marketing Res. , vol.41 , pp. 467-478
    • Manchanda, P.1    Rossi, P.E.2    Chintagunta, P.K.3
  • 35
    • 67449133907 scopus 로고    scopus 로고
    • Bayesian estimation of random-coefficients choice models using aggregate data
    • Musalem A, Bradlow ET, Raju JS (2009) Bayesian estimation of random-coefficients choice models using aggregate data. J. Appl. Econometrics 24(3):490-516.
    • (2009) J. Appl. Econometrics , vol.24 , Issue.3 , pp. 490-516
    • Musalem, A.1    Bradlow, E.T.2    Raju, J.S.3
  • 37
    • 80051611239 scopus 로고    scopus 로고
    • Testing models of strategic behavior characterized by conditional likelihoods
    • Otter T, Gilbride T, Allenby GM (2011) Testing models of strategic behavior characterized by conditional likelihoods. Marketing Sci. 30(4):686-701.
    • (2011) Marketing Sci. , vol.30 , Issue.4 , pp. 686-701
    • Otter, T.1    Gilbride, T.2    Allenby, G.M.3
  • 38
    • 0001447776 scopus 로고
    • Econometric issues in the analysis of regressions with generated regressors
    • Pagan A (1984) Econometric issues in the analysis of regressions with generated regressors. Internat. Econom. Rev. 25(1):221-247.
    • (1984) Internat. Econom. Rev. , vol.25 , Issue.1 , pp. 221-247
    • Pagan, A.1
  • 39
    • 69549117134 scopus 로고    scopus 로고
    • Simulated maximum likelihood estimator for the random coefficient logit model using aggregate data
    • August
    • Park S, Gupta S (2009) Simulated maximum likelihood estimator for the random coefficient logit model using aggregate data. J. Marketing Res. 46(August):531-542.
    • (2009) J. Marketing Res. , vol.46 , pp. 531-542
    • Park, S.1    Gupta, S.2
  • 40
    • 0142003668 scopus 로고    scopus 로고
    • Identification through heteroskedasticity
    • Rigobon R (2003) Identification through heteroskedasticity. Rev. Econom. Statist. 85(4):777-792.
    • (2003) Rev. Econom. Statist. , vol.85 , Issue.4 , pp. 777-792
    • Rigobon, R.1
  • 43
    • 80053939779 scopus 로고    scopus 로고
    • Zooming in on paid search ads-An individual-level model calibrated on aggregated data
    • Rutz OJ, Trusov M (2011) Zooming in on paid search ads-An individual-level model calibrated on aggregated data. Marketing Sci. 30(5):789-800.
    • (2011) Marketing Sci. , vol.30 , Issue.5 , pp. 789-800
    • Rutz, O.J.1    Trusov, M.2
  • 44
    • 84863748468 scopus 로고    scopus 로고
    • A latent instrumental variables approach to modeling keyword conversion in paid search advertising
    • Rutz OJ, Bucklin RE, Sonnier GP (2012) A latent instrumental variables approach to modeling keyword conversion in paid search advertising. J. Marketing Res. 49(3):306-319.
    • (2012) J. Marketing Res. , vol.49 , Issue.3 , pp. 306-319
    • Rutz, O.J.1    Bucklin, R.E.2    Sonnier, G.P.3
  • 45
    • 0029597951 scopus 로고
    • Inferences on the association parameter in copula models for bivariate survival data
    • Shih JH, Loius TA (1995) Inferences on the association parameter in copula models for bivariate survival data. Biometrics 51(4):1384-1399.
    • (1995) Biometrics , vol.51 , Issue.4 , pp. 1384-1399
    • Shih, J.H.1    Loius, T.A.2
  • 48
    • 0034336065 scopus 로고    scopus 로고
    • Multivariate dispersion models generated from gaussian copula
    • Song PX-K (2000) Multivariate dispersion models generated from gaussian copula. Scand. J. Statist. 27(2):305-320.
    • (2000) Scand. J. Statist. , vol.27 , Issue.2 , pp. 305-320
    • Song, P.X.-K.1
  • 49
    • 0035531127 scopus 로고    scopus 로고
    • Competitive pricing behavior in the US auto market: A structural analysis
    • Sudhir K (2001) Competitive pricing behavior in the US auto market: A structural analysis. Marketing Sci. 20(1):42-60.
    • (2001) Marketing Sci. , vol.20 , Issue.1 , pp. 42-60
    • Sudhir, K.1
  • 51
    • 0033207210 scopus 로고    scopus 로고
    • Endogeneity in brand choice models
    • Villas-Boas JM, Winer R (1999) Endogeneity in brand choice models. Management Sci. 45(10):1324-1338.
    • (1999) Management Sci. , vol.45 , Issue.10 , pp. 1324-1338
    • Villas-Boas, J.M.1    Winer, R.2
  • 53
    • 2142792505 scopus 로고    scopus 로고
    • Bayesian analysis of simultaneous demand and supply
    • Yang S, Chen Y, Allenby GM (2003) Bayesian analysis of simultaneous demand and supply. Quant. Marketing Econom. 1(3):251-275.
    • (2003) Quant. Marketing Econom. , vol.1 , Issue.3 , pp. 251-275
    • Yang, S.1    Chen, Y.2    Allenby, G.M.3
  • 54
    • 70349932167 scopus 로고    scopus 로고
    • Sales effects of visual attention to feature ads: A Bayesian mediation analysis
    • Zhang J, Wedel M, Pieters R (2009) Sales effects of visual attention to feature ads: A Bayesian mediation analysis. J. Marketing Res. 46(3):669-681.
    • (2009) J. Marketing Res. , vol.46 , Issue.3 , pp. 669-681
    • Zhang, J.1    Wedel, M.2    Pieters, R.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.