Author: Sylvie TchumtchouaPublisher:
ISBN:
Category : Mathematical statistics
Languages : en
Pages : 62
Book Description
Semiparametric Bayesian Estimation of Discrete Choice Models
Author: Sylvie TchumtchouaPublisher:
ISBN:
Category : Mathematical statistics
Languages : en
Pages : 62
Book Description
Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models
Author: Andriy NoretsPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We propose a tractable semiparametric estimation method for dynamic discrete choice models. The distribution of additive utility shocks is modeled by location-scale mixtures of extreme value distributions with varying numbers of mixture components. Our approach exploits the analytical tractability of extreme value distributions and the flexibility of the location-scale mixtures. We implement the Bayesian approach to inference using Hamiltonian Monte Carlo and an approximately optimal reversible jump algorithm. For binary dynamic choice model, our approach delivers estimation results that are consistent with the previous literature. We also apply the proposed method to multinomial choice models, for which previous literature does not provide tractable estimation methods in general settings without distributional assumptions on the utility shocks. In our simulation experiments, we show that the standard dynamic logit model can deliver misleading results, especially about counterfactuals, when the shocks are not extreme value distributed. Our semiparametric approach delivers reliable inference in these settings. We develop theoretical results on approximations by location-scale mixtures in an appropriate distance and posterior concentration of the set identified utility parameters and the distribution of shocks in the model.
Bayesian Estimation of Dynamic Discrete Choice Models
Author: Susumu ImaiPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We propose a new methodology for structural estimation of infinite horizon dynamic discrete choice models. We combine the Dynamic Programming (DP) solution algorithm with the Bayesian Markov Chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the parameters simultaneously. As a result, the computational burden of estimating a dynamic model becomes comparable to that of a static model. Another feature of our algorithm is that even though per solution-estimation iteration, the number of grid points on the state variable is small, the number of effective grid points increases with the number of estimation iterations. This is how we help ease the "Curse of Dimensionality." We simulate and estimate several versions of a simple model of entry and exit to illustrate our methodology. We also prove that under standard conditions, the parameters converge in probability to the true posterior distribution, regardless of the starting values.
Semiparametric Identification and Estimation of Discrete Choice Models for Bundles
Author: Fu OuyangA Practitioner's Guide to Bayesian Estimation of Discrete Choice Dynamic Programming Models
Author: Andrew T. ChingPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper provides a step-by-step guide to estimating infinite horizon discrete choice dynamic programming (DDP) models using a new Bayesian estimation algorithm (Imai, Jain and Ching, Econometrica 77:1865-1899, 2009) (IJC). In the conventional nested fixed point algorithm, most of the information obtained in the past iterations remains unused in the current iteration. In contrast, the IJC algorithm extensively uses the computational results obtained from the past iterations to help solve the DDP model at the current iterated parameter values. Consequently, it has the potential to significantly alleviate the computational burden of estimating DDP models. To illustrate this new estimation method, we use a simple dynamic store choice model where stores offer "frequent-buyer" type reward programs. We show that the parameters of this model, including the discount factor, are well-identified. Our Monte Carlo results demonstrate that the IJC method is able to recover the true parameter values of this model quite precisely. We also show that the IJC method could reduce the estimation time significantly when estimating DDP models with unobserved heterogeneity, especially when the discount factor is close to 1.
Discrete Choice Methods with Simulation
Author: Kenneth TrainPublisher: Cambridge University Press
ISBN: 9780521017152
Category : Business & Economics
Languages : en
Pages : 346
Book Description
Table of contents
Semiparametric Identiđ“ŹŠtion and Estimation of Multinomial Discrete Choice Models Using Error Symmetry
Author: Arthur LewbelBayesian Estimation of Dynamic Discrete Choice Models
Author: Bayesian Procedures as a Numerical Tool for the Estimation of Dynamic Discrete Choice Models
Author: Peter HaanBayesian Econometrics
Author: Siddhartha ChibPublisher: Emerald Group Publishing
ISBN: 1848553080
Category : Business & Economics
Languages : en
Pages : 656
Book Description
Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.