A Bayesian Multinomial Probit Model for the Analysis of Panel Choice Data

Psychometrika, Volume 81, Issue 1, pp 161–183, 2016

Posted: 18 Jun 2016

See all articles by Duncan K. H. Fong

Duncan K. H. Fong

Pennsylvania State University

Sunghoon Kim

Pennsylvania State University

Zhe Chen

University of New South Wales (UNSW); Acadian Asset Management; Centre for International Finance and Regulation (CIFR)

Wayne S. DeSarbo

Pennsylvania State University

Date Written: March 2016

Abstract

A new Bayesian multinomial probit model is proposed for the analysis of panel choice data. Using a parameter expansion technique, we are able to devise a Markov Chain Monte Carlo algorithm to compute our Bayesian estimates efficiently. We also show that the proposed procedure enables the estimation of individual level coefficients for the single-period multinomial probit model even when the available prior information is vague. We apply our new procedure to consumer purchase data and reanalyze a well-known scanner panel dataset that reveals new substantive insights. In addition, we delineate a number of advantageous features of our proposed procedure over several benchmark models. Finally, through a simulation analysis employing a fractional factorial design, we demonstrate that the results from our proposed model are quite robust with respect to differing factors across various conditions.

Keywords: Bayesian analysis, heterogeneity, multinomial probit model, panel data, parameter expansion, marketing, consumer psychology

Suggested Citation

Fong, Duncan K. H. and Kim, Sunghoon and Chen, Zhe and Chen, Zhe and DeSarbo, Wayne S., A Bayesian Multinomial Probit Model for the Analysis of Panel Choice Data (March 2016). Psychometrika, Volume 81, Issue 1, pp 161–183, 2016, Available at SSRN: https://ssrn.com/abstract=2796781

Duncan K. H. Fong

Pennsylvania State University ( email )

308 armsby
university park, PA 16802
United States

Sunghoon Kim

Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

Zhe Chen

University of New South Wales (UNSW)

Kensington
High St
Sydney, NSW 2052
Australia

Acadian Asset Management ( email )

260 Franklin Street
Boston, MA 02110
United States

Centre for International Finance and Regulation (CIFR) ( email )

Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

Wayne S. DeSarbo (Contact Author)

Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

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