Practical Method to Simulate Multiple Discrete-Continuous Generalized Extreme Value Model: Application to Examine Substitution Patterns of Household Transportation Expenditures:

The multiple discrete-continuous generalized extreme value (MDCGEV) model has been derived from multivariate extreme value (MEV)-based stochastic specifications to relax the independence assumption in the multiple discrete-continuous extreme value (MDCEV) model. It is analogous to the situation where a generalized extreme value (GEV) model relaxes the same assumption in a multinomial logit (MNL) model. However, unlike the case of single discrete choice model where substitution patterns can be understood based on elasticity expressions for a change in the value of an explanatory variable, the MDCEV and its variants do not offer closed-form elasticity expressions. The predictions must be compared explicitly under the base case and policy case scenarios. To perform a prediction exercise with MDCEV or its variants, random samples have to be drawn from the relevant stochastic distributions, which is actually not a straightforward task. In this paper, a practical method is proposed for drawing from an MEV distr...