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Econometric Analysis of Sequential Discrete Choice Models

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  • An, Mark Y.

Abstract

This paper specifies an estimable dynamic model of sequential discrete choices in a controlled jump-process framework. We study sufficient conditions under which the agent's optimal policy is stationary. We show that the observable event histories at the micro-level are sample semi-Markovian. We provide, for the first time, sufficient and necessary conditions under which the destination-specific hazard functions belong to the proportional hazard family. We propose a computing algorithm for statistical inference of the structural parameters from longitudinal survey data.

Suggested Citation

  • An, Mark Y., 1995. "Econometric Analysis of Sequential Discrete Choice Models," Working Papers 95-55, Duke University, Department of Economics.
    • Handle: RePEc:duk:dukeec:95-55
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    Cited by:

    1. Winter, Joachim, 1997. "Ökonometrische Analyse diskreter dynamischer Entscheidungsprozesse," Sonderforschungsbereich 504 Publications 99-27, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    2. Mark Yuying An, 1996. "Semiparametric Estimation of Willingness to Pay Distributions," Econometrics 9611001, University Library of Munich, Germany.
    3. Leitón Quiroga, Jorge G. M., 2007. "Modelos de Eficiencia Económica: El Transporte Ferroviario," Documentos de trabajo 2/2007, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    4. Kawasaki, Ken-ichi, 2002. "Japanese External Policies and the Asian Economic Developments," Conference papers 330983, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    5. Mark Yuying An & Ming Liu, 2000. "Using Indirect Inference To Solve The Initial-Conditions Problem," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 656-667, November.

    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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