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.
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Bibliographic InfoPaper provided by University of Virginia, Department of Economics in its series Virginia Economics Online Papers with number 389.
Length: 9 pages
Date of creation: Nov 1994
Date of revision:
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Web page: http://www.virginia.edu/economics/home.html
simulation; discrete choice methods;
Other versions of this item:
- Stern, Steven, 1994. "Two Dynamic Discrete Choice Estimation Problems and Simulation Method Solutions," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 695-702, November.
- 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
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