Scholars@Duke publication: A Simulation Estimator for Dynamic Models of Discrete Choice

A Simulation Estimator for Dynamic Models of Discrete Choice

Publication , Journal Article

Hotz, VJ; Miller, RA; Sanders, S; Smith, J

Published in: The Review of Economic Studies

1994

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).

Duke Scholars

Author V. Joseph Hotz Economics

Published In

The Review of Economic Studies

Publication Date

1994

Volume

Issue

Start / End Page

265 / 289

Related Subject Headings

Economics
14 Economics

Citation

APA

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ICMJE

MLA

NLM

Hotz, V. J., Miller, R. A., Sanders, S., & Smith, J. (1994). A Simulation Estimator for Dynamic Models of Discrete Choice. The Review of Economic Studies, 61(2), 265–289.

Hotz, V Joseph, Robert A. Miller, Seth Sanders, and Jeffrey Smith. “A Simulation Estimator for Dynamic Models of Discrete Choice.” The Review of Economic Studies 61, no. 2 (1994): 265–89.

Hotz VJ, Miller RA, Sanders S, Smith J. A Simulation Estimator for Dynamic Models of Discrete Choice. The Review of Economic Studies. 1994;61(2):265–89.

Hotz, V. Joseph, et al. “A Simulation Estimator for Dynamic Models of Discrete Choice.” The Review of Economic Studies, vol. 61, no. 2, 1994, pp. 265–89.

Hotz VJ, Miller RA, Sanders S, Smith J. A Simulation Estimator for Dynamic Models of Discrete Choice. The Review of Economic Studies. 1994;61(2):265–289.