Efficient Estimation of Choice-based Sample Models with the Method of Moments PDF Download

Author: Guido W. Imbens
Publisher:
ISBN:
Category :
Languages : en
Pages : 48

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Author: Stephen Rhys Cosslett
Publisher:
ISBN:
Category : Choice of transportation
Languages : en
Pages : 498

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Book Description

Author: Kim P. Huynh
Publisher: Emerald Group Publishing
ISBN: 1787567257
Category : Business & Economics
Languages : en
Pages : 344

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This volume of Advances in Econometrics contains a selection of papers presented at the 'Econometrics of Complex Survey Data: Theory and Applications' conference organized by the Bank of Canada, Ottawa, Canada, from October 19-20, 2017.

Author: Kenneth Train
Publisher: Cambridge University Press
ISBN: 0521766559
Category : Business & Economics
Languages : en
Pages : 399

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Book Description
This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.

Author: Laszlo Matyas
Publisher: Cambridge University Press
ISBN: 9780521669672
Category : Business & Economics
Languages : en
Pages : 332

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Book Description
The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

Author: Guido Imbens
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 78

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Author: David M. Drukker
Publisher: Emerald Group Publishing
ISBN: 1780525257
Category : Business & Economics
Languages : en
Pages : 352

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Book Description
Contains 16 chapters authored by specialists in the field, covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.

Author: Phillipp Eisenhauer
Publisher:
ISBN:
Category : Decision making
Languages : en
Pages : 0

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Book Description
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in the 1980s and early 1990s. We use estimates from our model to simulate a synthetic dataset and assess the ability of ML and SMM to recover the model parameters on this sample. We investigate the performance of alternative tuning parameters for SMM.

Author: Zvi Griliches
Publisher: Elsevier
ISBN: 0444532005
Category : Business & Economics
Languages : en
Pages : 1057

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Book Description
The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.

Author: James J. Heckman
Publisher: Elsevier
ISBN: 0444534288
Category : Business & Economics
Languages : en
Pages : 1057

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