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Bayesian procedures as a numerical tool for the estimation of an intertemporal discrete choice model

Listed author(s):
  • Peter Haan

    ()

  • Daniel Kemptner

    ()

  • Arne Uhlendorff

    ()

Discrete choice models usually require a general specification of unobserved heterogeneity. In this paper, we apply Bayesian procedures as a numerical tool for the estimation of a female labor supply model based on a sample size that is typical for common household panels. We provide two important results for the practitioner: First, for a specification with a multivariate normal distribution for the unobserved heterogeneity, the Bayesian MCMC estimator yields almost identical results as a classical maximum simulated likelihood (MSL) estimator. Second, we show that when imposing distributional assumptions that are consistent with economic theory, e.g., log-normally distributed consumption preferences, the Bayesian method performs well and provides reasonable estimates, while the MSL estimator does not converge. These results indicate that Bayesian procedures can be a beneficial tool for the estimation of intertemporal discrete choice models. Copyright Springer-Verlag Berlin Heidelberg 2015

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File URL: http://hdl.handle.net/10.1007/s00181-014-0906-7
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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 49 (2015)
Issue (Month): 3 (November)
Pages: 1123-1141

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Handle: RePEc:spr:empeco:v:49:y:2015:i:3:p:1123-1141
DOI: 10.1007/s00181-014-0906-7
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/econometrics/journal/181/PS2

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