A Simulation Estimator for Dynamic Models of Discrete Choice Export

@article{hotz94simulation, abstract = {This paper analyses a new estimator for the structural parameters of dynamic models of discrete choice. Based on an inversion theorem due to Hotz and Miller (1993), which establishes the existence of a one-to-one mapping between the conditional valuation functions for the dynamic problem and their associated conditional choice probabilities, we exploit simulation techniques to estimate models which do not possess terminal states. In this way our Conditional Choice Simulation (CCS) estimator complements the Conditional Choice Probability (CCP) estimator of Hotz and Miller (1993). Drawing on work in empirical process theory by Pakes and Pollard (1989), we establish its large sample properties, and then conduct a Monte Carlo study of Rust's (1987) model of bus engine replacement to compare its small sample properties with those of Maximum Likelihood (ML).}, author = {Hotz, Joseph V. and Miller, Robert A. and Sanders, Seth and Smith, Jeffrey}, citeulike-article-id = {3924255}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2297981}, citeulike-linkout-1 = {http://www.jstor.org/stable/2297981}, doi = {10.2307/2297981}, issn = {00346527}, journal = {The Review of Economic Studies}, keywords = {ddc, dynamics, econometrics, economics, simulation}, number = {2}, pages = {265--289}, posted-at = {2009-01-22 16:28:00}, priority = {2}, publisher = {The Review of Economic Studies Ltd.}, title = {A Simulation Estimator for Dynamic Models of Discrete Choice}, url = {http://dx.doi.org/10.2307/2297981}, volume = {61}, year = {1994} }

TY - JOUR ID - hotz94simulation L3 - citeulike-article-id:3924255 N2 - This paper analyses a new estimator for the structural parameters of dynamic models of discrete choice. Based on an inversion theorem due to Hotz and Miller (1993), which establishes the existence of a one-to-one mapping between the conditional valuation functions for the dynamic problem and their associated conditional choice probabilities, we exploit simulation techniques to estimate models which do not possess terminal states. In this way our Conditional Choice Simulation (CCS) estimator complements the Conditional Choice Probability (CCP) estimator of Hotz and Miller (1993). Drawing on work in empirical process theory by Pakes and Pollard (1989), we establish its large sample properties, and then conduct a Monte Carlo study of Rust's (1987) model of bus engine replacement to compare its small sample properties with those of Maximum Likelihood (ML). IS - 2 JF - The Review of Economic Studies SN - 00346527 EP - 289 TI - A Simulation Estimator for Dynamic Models of Discrete Choice PB - The Review of Economic Studies Ltd. VL - 61 SP - 265 KW - ddc KW - dynamics KW - econometrics KW - economics KW - simulation AU - Hotz, Joseph AU - Miller, Robert AU - Sanders, Seth AU - Smith, Jeffrey PY - 1994/// UR - http://dx.doi.org/10.2307/2297981 ER -