Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/204349
Authors: 
Andersen, Laura Mørch
Year of Publication: 
2013
Series/Report no.: 
IFRO Working Paper No. 2013/1
Abstract: 
It is standard practice by researchers and the default option in many statistical programs to base test statistics for mixed models on simulations using asymmetric draws (e.g. Halton draws). This paper shows that when the estimated likelihood functions depend on standard deviations of mixed parameters this practice is very likely to cause misleading test results for the number of draws usually used today. The paper shows that increasing the number of draws is a very inefficient solution strategy requiring very large numbers of draws to ensure against misleading test statistics. The paper shows that using one dimensionally antithetic draws does not solve the problem but that the problem can be solved completely by using fully antithetic draws. The paper also shows that even when fully antithetic draws are used, models testing away mixing dimensions must replicate the relevant dimensions of the quasi-random draws in the simulation of the restricted likelihood. Again this is not standard in research or statistical programs. The paper therefore recommends using fully antithetic draws replicating the relevant dimensions of the quasi-random draws in the simulation of the restricted likelihood and that this should become the default option in statistical programs.
Subjects: 
Quasi-Monte Carlo integration
Antithetic draws
Likelihood Ratio tests
simulated likelihood
panel Mixed MultiNomial Logit
Halton draws
JEL: 
C15
C25
Document Type: 
Working Paper

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