Conditional Choice Probabilities And The Estimation Of Dynamic Discrete Choice Models PDF Download
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Author | : V. Joseph Hotz |
Publisher | : |
Total Pages | : 51 |
Release | : 1988 |
Genre | : Estimation theory |
ISBN | : |
Download Conditional Choice Probabilities and the Estimation of Dynamic Discrete Choice Models Book in PDF, ePub and Kindle
Author | : V. Joseph Hotz |
Publisher | : |
Total Pages | : 46 |
Release | : 1992 |
Genre | : Estimation theory |
ISBN | : |
Download Conditional Choice Probabilities and the Estimation of Dynamic Models Book in PDF, ePub and Kindle
Author | : Wayne-Roy Gayle |
Publisher | : |
Total Pages | : 53 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download CCP Estimation of Dynamic Discrete/Continuous Choice Models with Generalized Finite Dependence and Correlated Unobserved Heterogeneity Book in PDF, ePub and Kindle
This paper investigates conditional choice probability estimation of dynamic structural discrete and continuous choice models. I extend the concept of finite dependence in a way that accommodates non-stationary, irreducible transition probabilities. I show that under this new definition of finite dependence, one-period dependence is obtainable in any dynamic structural model with non-degenerate transition functions. This finite dependence property also provides a convenient and computationally cheap representation of the optimality conditions for the continuous choice variables. I allow for discrete-valued unobserved heterogeneity in utilities, transition probabilities, and production functions. The unobserved heterogeneity may be correlated with the observable state variables. I show the estimator is root-n--asymptotically normal. I develop a new and computationally cheap algorithm to compute the estimator, and analyse the finite sample properties of this estimator via Monte Carlo techniques. I apply the proposed method to estimate a model of education and labor supply choices to investigate properties of the distribution of returns to education, using data from the National Longitudinal Survey of Youth 1979.
Author | : Christophe Alain Bruneel-Zupanc |
Publisher | : |
Total Pages | : |
Release | : 2021 |
Genre | : |
ISBN | : |
Download Discrete-continuous Dynamic Choice Models: Identification and Conditional Choice Probability Estimation Book in PDF, ePub and Kindle
Author | : Kenneth Train |
Publisher | : Cambridge University Press |
Total Pages | : 399 |
Release | : 2009-07-06 |
Genre | : Business & Economics |
ISBN | : 0521766559 |
Download Discrete Choice Methods with Simulation Book in PDF, ePub and Kindle
This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Author | : Khai Chiong |
Publisher | : |
Total Pages | : 42 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Duality in Dynamic Discrete Choice Models Book in PDF, ePub and Kindle
Using results from convex analysis, we investigate a novel approach to identification and estimation of discrete choice models which we call the “Mass Transport Approach” (MTA). We show that the conditional choice probabilities and the choice specific payoffs in these models are related in the sense of conjugate duality, and that the identification problem is a mass transport problem. Based on this, we propose a new two-step estimator for these models; interestingly, the first step of our estimator involves solving a linear program which is identical to the classic assignment (two-sided matching) game of Shapley and Shubik (1971). The application of convex-analytic tools to dynamic discrete choice models, and the connection with two-sided matching models, is new in the literature.
Author | : David A. Hensher |
Publisher | : Routledge |
Total Pages | : 280 |
Release | : 2018-04-09 |
Genre | : Business & Economics |
ISBN | : 1351140744 |
Download Applied Discrete-Choice Modelling Book in PDF, ePub and Kindle
Originally published in 1981. Discrete-choice modelling is an area of econometrics where significant advances have been made at the research level. This book presents an overview of these advances, explaining the theory underlying the model, and explores its various applications. It shows how operational choice models can be used, and how they are particularly useful for a better understanding of consumer demand theory. It discusses particular problems connected with the model and its use, and reports on the authors’ own empirical research. This is a comprehensive survey of research developments in discrete choice modelling and its applications.
Author | : Victor Aguirregabiria |
Publisher | : |
Total Pages | : 46 |
Release | : 2016 |
Genre | : Dynamic programming |
ISBN | : |
Download Solution and Estimation of Dynamic Discrete Choice Structural Models Using Euler Equations Book in PDF, ePub and Kindle
This paper extends the Euler Equation (EE) representation of dynamic decision problems to a general class of discrete choice models and shows that the advantages of this approach apply not only to the estimation of structural parameters but also to the computation of a solution and to the evaluation of counterfactual experiments. We use a choice probabilities representation of the discrete decision problem to derive marginal conditions of optimality with the same features as the standard EEs in continuous decision problems. These EEs imply a fixed point mapping in the space of conditional choice values, that we denote the Euler equation-value (EE-value) operator. We show that, in contrast to Euler equation operators in continuous decision models, this operator is a contraction. We present numerical examples that illustrate how solving the model by iterating in the EE-value mapping implies substantial computational savings relative to iterating in the Bellman equation (that requires a much larger number of iterations) or in the policy function (that involves a costly valuation step). We define a sample version of the EE-value operator and use it to construct a sequence of consistent estimators of the structural parameters, and to evaluate counterfactual experiments. The computational cost of evaluating this sample-based EE-value operator increases linearly with sample size, and provides an unbiased (in finite samples) and consistent estimator the counterfactual. As such there is no curse of dimensionality in the consistent estimation of the model and in the evaluation of counterfactual experiments. We illustrate the computational gains of our methods using several Monte Carlo experiments.
Author | : Kenneth Train |
Publisher | : Cambridge University Press |
Total Pages | : 346 |
Release | : 2003-01-13 |
Genre | : Business & Economics |
ISBN | : 9780521017152 |
Download Discrete Choice Methods with Simulation Book in PDF, ePub and Kindle
Table of contents
Author | : Matthew Shum |
Publisher | : World Scientific |
Total Pages | : 154 |
Release | : 2016-12-14 |
Genre | : Business & Economics |
ISBN | : 981310967X |
Download Econometric Models For Industrial Organization Book in PDF, ePub and Kindle
Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.