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Econometric Analysis of Sequential Discrete Choice Models

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  • An, Mark Y.

Abstract

This paper specifies an estimable dynamic model of sequential discrete choices in a controlled jump-process framework. We study sufficient conditions under which the agent's optimal policy is stationary. We show that the observable event histories at the micro-level are sample semi-Markovian. We provide, for the first time, sufficient and necessary conditions under which the destination-specific hazard functions belong to the proportional hazard family. We propose a computing algorithm for statistical inference of the structural parameters from longitudinal survey data.

Suggested Citation

  • An, Mark Y., 1995. "Econometric Analysis of Sequential Discrete Choice Models," Working Papers 95-55, Duke University, Department of Economics.
  • Handle: RePEc:duk:dukeec:95-55
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    Cited by:

    1. An, Mark Yuying, 1996. "Semiparametric Estimation of Willingness to Pay Distributions," Working Papers 96-20, Duke University, Department of Economics.
    2. Mark Yuying An & Ming Liu, 2000. "Using Indirect Inference To Solve The Initial-Conditions Problem," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 656-667, November.
    3. Leitón Quiroga, Jorge G. M., 2007. "Modelos de Eficiencia Económica: El Transporte Ferroviario," Documentos de trabajo 2/2007, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    4. Winter, Joachim, 1997. "Ökonometrische Analyse diskreter dynamischer Entscheidungsprozesse," Sonderforschungsbereich 504 Publications 99-27, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.

    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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