Two Dynamic Discrete Choice Estimation Problems and Simulation Method Solutions
AbstractThis paper considers two problems that frequently arise in dynamic discrete choice problems but have not received much attention with regard to simulation methods. The first problem is how to simulate unbiased simulators of probabilities conditional on past history. The second is simulating a discrete transition probability model when the underlying dependent variable is really continuous. Both methods work well relative to reasonable alternatives in the application discussed. However, in both cases, for this application, simpler methods also provide reasonably good results. Copyright 1994 by MIT Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 76 (1994)
Issue (Month): 4 (November)
Contact details of provider:
Web page: http://mitpress.mit.edu/journals/
Other versions of this item:
- Steven Stern, 1994. "Two Dynamic Discrete Choice Estimation Problems and Simulation Method Solutions," Virginia Economics Online Papers 389, University of Virginia, Department of Economics.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hsiao, Cheng, 1989.
"Consistent estimation for some nonlinear errors-in-variables models,"
Journal of Econometrics,
Elsevier, vol. 41(1), pages 159-185, May.
- Hsiao, C., 1988. "Consistent Estimation For Some Nonlinear Errors-In- Variables Models," Papers m8810, Southern California - Department of Economics.
- Berkovec, James & Stern, Steven, 1991. "Job Exit Behavior of Older Men," Econometrica, Econometric Society, vol. 59(1), pages 189-210, January.
- McFadden, Daniel, 1989.
"A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration,"
Econometric Society, vol. 57(5), pages 995-1026, September.
- Daniel McFadden, 1987. "A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration," Working papers 464, Massachusetts Institute of Technology (MIT), Department of Economics.
- Axel Borsch-Supan & Daniel L. McFadden & Reinhold Schnabel, 1996.
"Living Arrangements: Health and Wealth Effects,"
in: Advances in the Economics of Aging, pages 193-216
National Bureau of Economic Research, Inc.
- Miller, Robert A, 1984. "Job Matching and Occupational Choice," Journal of Political Economy, University of Chicago Press, vol. 92(6), pages 1086-120, December.
- Steven Stern, 1995. "Estimating Family Long-Term Care Decisions in the Presence of Endogenous Child Characteristics," Journal of Human Resources, University of Wisconsin Press, vol. 30(3), pages 551-580.
- Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
- Butler, J S & Moffitt, Robert, 1982. "A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model," Econometrica, Econometric Society, vol. 50(3), pages 761-64, May.
- Geweke, John, 1988. "Antithetic acceleration of Monte Carlo integration in Bayesian inference," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 73-89.
- Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470.
- Liliana E. Pezzin & Robert A. Pollak & Barbara S. Schone, 2007.
"Efficiency in Family Bargaining: Living Arrangements and Caregiving Decisions of Adult Children and Disabled Elderly Parents,"
CESifo Economic Studies,
CESifo, vol. 53(1), pages 69-96, March.
- Liliana E. Pezzin & Robert A. Pollak & Barbara S. Schone, 2006. "Efficiency in Family Bargaining: Living Arrangements and Caregiving Decisions of Adult Children and Disabled Elderly Parents," NBER Working Papers 12358, National Bureau of Economic Research, Inc.
- Liliana E. Pezzin & Robert A. Pollak & Barbara S. Schone, 2007. "Efficiency in Family Bargaining: Living Arrangements and Caregiving Decisions of Adult Children and Disabled Elderly Parents," CESifo Working Paper Series 1908, CESifo Group Munich.
- Steven Stern & Bridget Hiedemann, 1999.
"Strategic Play Among Family Members When Making Long-Term Care Decisions,"
Virginia Economics Online Papers
321, University of Virginia, Department of Economics.
- Hiedemann, Bridget & Stern, Steven, 1999. "Strategic play among family members when making long-term care decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 40(1), pages 29-57, September.
- Tennille J. Checkovich & Steven Stern, 2002.
"Shared Caregiving Responsibilities of Adult Siblings with Elderly Parents,"
Journal of Human Resources,
University of Wisconsin Press, vol. 37(3), pages 441-478.
- Steven Stern & Tennille J. Neuharth, 2000. "Shared Caregiving Responsibilities of Adult Siblings with Elderly Parents," Virginia Economics Online Papers 323, University of Virginia, Department of Economics.
- Fernandez, Jose & Cataiefe, Guido, 2009. "Model of the 2000 Presidential Election: Instrumenting for Ideology," MPRA Paper 16264, University Library of Munich, Germany.
- Jose M. Fernandez, 2013.
"An Empirical Model Of Learning Under Ambiguity: The Case Of Clinical Trials,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(2), pages 549-573, 05.
- Fernandez, Jose, 2008. "An Empirical Model of Learning under Ambiguity: The Case of Clinical Trials," MPRA Paper 8621, University Library of Munich, Germany.
- Daniel Ackerberg, 2009.
"A new use of importance sampling to reduce computational burden in simulation estimation,"
Quantitative Marketing and Economics,
Springer, vol. 7(4), pages 343-376, December.
- Daniel A. Ackerberg, 2001. "A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation," NBER Technical Working Papers 0273, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Karie Kirkpatrick).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.