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Halton Sequences for Mixed Logit

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  • Kenneth Train

    (University of California, Berkeley)

Abstract

The simulation variance in the estimation of mixed logit parameters is found, in our application, to be lower with 100 Halton draws than with 1000 random draws. This finding confirms Bhat's (1999a) results and implies significant reduction in run times for mixed logit estimation. Further investigation is needed to assure that the result is not quixotic or masking other issues.

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File URL: http://128.118.178.162/eps/em/papers/0012/0012002.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0012002.

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Length: 19 pages
Date of creation: 02 Jan 2001
Date of revision:
Handle: RePEc:wpa:wuwpem:0012002

Note: 19 pages Acrobat .pdf
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Web page: http://128.118.178.162

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  1. V.A. Hajivassiliou & P. A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Econometrics 9311002, EconWPA.
  2. Lee, L-F., 1990. "On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models," Papers 260, Minnesota - Center for Economic Research.
  3. Brownstone, David & Train, Kenneth, 1999. "Forecasting new product penetration with flexible substitution patterns," University of California Transportation Center, Working Papers qt3tb6j874, University of California Transportation Center.
  4. 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.
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