Simulated Maximum Likelihood Estimation of Dynamic Discrete Choice Statistical Models--Some Monte Carlo Results
dc.contributor.author | Lee, Lung-fei | en_US |
dc.date.accessioned | 2013-11-14T23:21:33Z | |
dc.date.available | 2013-11-14T23:21:33Z | |
dc.date.issued | 1994-04 | en_US |
dc.identifier.other | MichU DeptE CenREST W94-06 | en_US |
dc.identifier.other | C230 | en_US |
dc.identifier.other | C250 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/100844 | |
dc.description.abstract | This article reports Monte Carlo results on the simulated maximum likelihood estimation of discrete panel statistical models. Among them are Markov, Generalized Poly, Renewal, and Havit Persistence Models with or without unobserved heterogeneity and serially correlated disturbances. We investigate statistical properties and computational performance of simulated maximum likelihood methods and a bias-correction procedure. With a moderate number of simulation draws for the construction of simulator and the bias adjusted procedure, most of these complex dynamic models can be adequately estimated for panels with length up to 30. The Polya model and the Renewal model can be accurately estimated for panels with 50 periods. | en_US |
dc.description.sponsorship | Center for Research on Economic and Social Theory, Department of Economics, University of Michigan | en_US |
dc.relation.ispartofseries | Working Paper | en_US |
dc.subject | Discrete Choice Panel Models | en_US |
dc.subject | Dynamic Models | en_US |
dc.subject | Heterogeneity | en_US |
dc.subject | Serial Correlation | en_US |
dc.subject | Simulated ML | en_US |
dc.subject | Bias-correction | en_US |
dc.subject | Monte Carlo Studies. | en_US |
dc.subject.other | Single Equation Models | en_US |
dc.subject.other | Single Variables: Models With Panel Data | en_US |
dc.subject.other | Single Equation Models | en_US |
dc.subject.other | Single Variables: Discrete Regression and Qualitative Choice Models | en_US |
dc.subject.other | Discrete Regressors | en_US |
dc.title | Simulated Maximum Likelihood Estimation of Dynamic Discrete Choice Statistical Models--Some Monte Carlo Results | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Social Sciences | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/100844/1/ECON299.pdf | |
dc.owningcollname | Economics, Department of - Working Papers Series |
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Economics, Department of - Working Papers Series
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