Efficient data augmentation for multivariate probit models with panel data: an application to general practitioner decision making about contraceptives. Issue 2 (7th January 2020)

• Record Type: Journal Article
• Authors: Chin, Vincent; Gunawan, David; Fiebig, Denzil G.; Kohn, Robert; Sisson, Scott A.
• Is Part Of: Journal of the Royal Statistical Society. Volume 69:Issue 2(2020)
• Page Start: 277
• Page End: 300
• Publication Date: 2020-01-07
• Subjects: Antithetic variable -- Bayesian inference -- Correlated binary data -- Hamiltonian Monte Carlo sampling -- Panel data; Statistics -- Periodicals; 519.5
• DOI: 10.1111/rssc.12393
• Languages: English
• ISSNs: 0035-9254

Abstract

Summary: The paper considers the problem of estimating a multivariate probit model in a panel data setting with emphasis on sampling a high dimensional correlation matrix and improving the overall efficiency of the data augmentation approach. We reparameterize the correlation matrix in a principled way and then carry out efficient Bayesian inference by using Hamiltonian Monte Carlo sampling. We also propose a novel antithetic variable method to generate samples from the posterior distribution of the random effects and regression coefficients, resulting in significant gains in efficiency. We apply the methodology by analysing stated preference data obtained from Australian general practitioners evaluating alternative contraceptive products. Our analysis suggests that the joint probability of discussing combinations of contraceptive products with a patient shows medical practice variation among the general practitioners, which indicates some resistance even to discuss these products, let alone to recommend them.