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Maximum likelihood estimation of the Markov chain model with macro data and the ecological inference model

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  • Arie ten Cate

Abstract

This CPB Discussion Paper merges two isolated bodies of literature: the Markov chain model with macro data (MacRae, 1977) and the ecological inference model (Robinson, 1950). Both are choice models. They have the same likelihood function and the same regression equation. Decades ago, this likelihood function was computationally demanding. This has led to the use of several approximate methods. Due to the improvement in computer hardware and software since 1977, exact maximum likelihood should now be the preferred estimation method. CPB Discussion Paper 284, "Maximum likelihood estimation of the Markov chain model with macro data and the ecological inference model" 15 september 2014 is published in : Journal of Economic and Social Measurement, vol. 43, no. 1-2, pp. 1-9, 2018.

Suggested Citation

  • Arie ten Cate, 2014. "Maximum likelihood estimation of the Markov chain model with macro data and the ecological inference model," CPB Discussion Paper 284, CPB Netherlands Bureau for Economic Policy Analysis.
    • Handle: RePEc:cpb:discus:284
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    References listed on IDEAS

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    1. Ben Pelzer & Rob Eisinga & Philip Hans Franses, 2001. "Estimating Transition Probabilities from a Time Series of Independent Cross Sections," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 55(2), pages 249-262, July.
    2. MacRae, Elizabeth Chase, 1977. "Estimation of Time-Varying Markov Processes with Aggregate Data," Econometrica, Econometric Society, vol. 45(1), pages 183-198, January.
    3. Warren Dent & Richard Ballintine, 1971. "A Review Of The Estimation Of Transition Probabilities In Markov Chains," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 15(2), pages 69-81, August.
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    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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