Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity

We adapt the expectation-maximization algorithm to incorporate unobserved heterogeneity into conditional choice probability (CCP) estimators of dynamic discrete choice problems. The unobserved heterogeneity can be time-invariant or follow a Markov chain. By developing a class of problems where the d...

Celý popis

Uloženo v:

Podrobná bibliografie
Vydáno v:	Econometrica Ročník 79; číslo 6; s. 1823 - 1867
Hlavní autoři:	Arcidiacono, Peter, Miller, Robert A.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Oxford, UK Blackwell Publishing Ltd 01.11.2011 Econometric Society Wiley-Blackwell
Témata:	Algorithms Applications Computational methods Conditional probabilities Decision making models Discrete choice Discrete choice models Diskrete Entscheidung Distribution theory Dynamic discrete choice Dynamic modeling Dynamische Wirtschaftstheorie Dynamisches Spiel Econometrics Economic models Engines Estimating techniques Estimation Estimation methods Estimators Exact sciences and technology Future value Heterogeneity Information and communication technologies Insurance, economics, finance Markov analysis Markov processes Mathematics Model testing Monte Carlo simulation Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Optimization Optimization algorithms Parametric models Preliminary estimates Probability Probability and statistics Probability theory and stochastic processes Schätztheorie Sciences and techniques of general use Statistical methods Statistics Studies Theorie unobserved heterogeneity Working papers Invariant Monte Carlo method Dynamic discrete choice Conditional distribution Maximization Statistical distribution Estimation Optimization method Conditional probability Stochastic method Algorithm Markov chain Statistical method Heterogeneity Numerical analysis Discrete choice unobserved heterogeneity Approximation theory Econometrics Dynamic model
ISSN:	0012-9682, 1468-0262
On-line přístup:	Získat plný text
Tagy:	Přidat tag Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!

Buďte první, kdo okomentuje tento záznam!