Advanced Search
MyIDEAS: Login

A Simulation Estimator for Dynamic Models of Discrete Choice

Contents:

Author Info

  • V. Joseph Hotz
  • Robert A. Miller
  • Seth Sanders
  • Jeffrey Smith

Abstract

This paper extends the recent work of Hotz and Miller (1991) on the use of conditional choice probabilities to represent the valuation functions in the estimation of dynamic, discrete choice models. They derive a N1/2 consistent and asymptotically normal estimator of the structural parameters of agents' optimal decision rules that relies on nonparametric estimates of the conditional choice probabilities of future choices. This paper extends their work by deriving a related estimator that does not require the estimation of the conditional choice probabilities of all future paths associated with a current action, but rather only those associated with a simulated path or paths. This estimator is also shown to be N1/2 consistent and asymptotically normal. The derivation of our estimator's asymptotic properties makes use of recent results in Pakes and Pollard (1989). By reducing the number of conditional choice probabilities that must be estimated, this new estimator allows the consideration of models with large numbers of alternative choices. We report results from a Monte Carlo study comparing several versions of our estimator with the maximum likelihood estimator in the context of Rust's (1989) model of bus engine replacement. We also discuss the implications of the Monte Carlo evidence regarding the actual implementation of the estimator.

Download Info

If 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.
File URL: http://harrisschool.uchicago.edu/about/publications/working-papers/pdf/wp_92_5.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Eleanor Cartelli)
Download Restriction: no

Bibliographic Info

Paper provided by Harris School of Public Policy Studies, University of Chicago in its series Working Papers with number 9205.

as in new window
Length:
Date of creation: May 1992
Date of revision:
Handle: RePEc:har:wpaper:9205

Contact details of provider:
Postal: 1155 East 60th Street, Chicago, IL 60637
Phone: 773-702-8400
Email:
Web page: http://harrisschool.uchicago.edu/
More information through EDIRC

Related research

Keywords: discrete choice; probability estimation; conditional choice probabilities; valuation functions;

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:har:wpaper:9205. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eleanor Cartelli) The email address of this maintainer does not seem to be valid anymore. Please ask Eleanor Cartelli to update the entry or send us the correct address.

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.