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

Acadian Asset Management; University of New South Wales (UNSW); 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 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

Acadian Asset Management ( email )

260 Franklin Street
Boston, MA 02110
United States

University of New South Wales (UNSW)

Kensington
High St
Sydney, NSW 2052
Australia

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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