Use of the principal component method in the maximum likelihood estimation procedure of the logit model

Eugene White, Hiroki Tsurumi

Research output: Contribution to journalArticle

Abstract

The maximum likelihood estimates of a qualitative response market are solved by an iterative procedure. When severe multicollinearity exists among the explanatory variables, this procedure may fail to converge. In this note, using a bank-failure model, we demonstrate how the principle component method can make the iterative procedure converge when it fails to do so in the untransformed model.

Original languageEnglish (US)
Pages (from-to)43-48
Number of pages6
JournalEconomics Letters
Volume12
Issue number1
DOIs
StatePublished - 1983

Fingerprint

Maximum likelihood estimation
Principal components
Logit model
Multicollinearity
Market response
Maximum likelihood
Bank failure

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

@article{f5543e7028fc4747a399160b6257ebf0,
title = "Use of the principal component method in the maximum likelihood estimation procedure of the logit model",
abstract = "The maximum likelihood estimates of a qualitative response market are solved by an iterative procedure. When severe multicollinearity exists among the explanatory variables, this procedure may fail to converge. In this note, using a bank-failure model, we demonstrate how the principle component method can make the iterative procedure converge when it fails to do so in the untransformed model.",
author = "Eugene White and Hiroki Tsurumi",
year = "1983",
doi = "10.1016/0165-1765(83)90110-6",
language = "English (US)",
volume = "12",
pages = "43--48",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "1",

}

Use of the principal component method in the maximum likelihood estimation procedure of the logit model. / White, Eugene; Tsurumi, Hiroki.

In: Economics Letters, Vol. 12, No. 1, 1983, p. 43-48.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Use of the principal component method in the maximum likelihood estimation procedure of the logit model

AU - White, Eugene

AU - Tsurumi, Hiroki

PY - 1983

Y1 - 1983

N2 - The maximum likelihood estimates of a qualitative response market are solved by an iterative procedure. When severe multicollinearity exists among the explanatory variables, this procedure may fail to converge. In this note, using a bank-failure model, we demonstrate how the principle component method can make the iterative procedure converge when it fails to do so in the untransformed model.

AB - The maximum likelihood estimates of a qualitative response market are solved by an iterative procedure. When severe multicollinearity exists among the explanatory variables, this procedure may fail to converge. In this note, using a bank-failure model, we demonstrate how the principle component method can make the iterative procedure converge when it fails to do so in the untransformed model.

UR - http://www.scopus.com/inward/record.url?scp=49049125799&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=49049125799&partnerID=8YFLogxK

U2 - 10.1016/0165-1765(83)90110-6

DO - 10.1016/0165-1765(83)90110-6

M3 - Article

AN - SCOPUS:49049125799

VL - 12

SP - 43

EP - 48

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 1

ER -