Skip to main content

A Simulation Estimator for Dynamic Models of Discrete Choice.

Publication ,  Journal Article
Hotz, VJ; Miller, RA; Sanders, S; Smith, J
Published in: Review of Economic Studies
April 1994

This paper analyzes a new estimator for the structural parameters of dynamic models of discrete choice. Based on an inversion theorem due to V. J. Hotz and R. 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, the authors exploit simulation techniques to estimate models that do not possess terminal states. Drawing on work in empirical process theory by A. Pakes and D. Pollard (1989), they establish its large sample properties and conduct a Monte Carlo study of J. Rust's (1987) model of bus engine replacement to compare its small sample properties with those of maximum likelihood. Copyright 1994 by The Review of Economic Studies Limited.

Duke Scholars

Published In

Review of Economic Studies

Publication Date

April 1994

Volume

61

Issue

2

Related Subject Headings

  • Economics
  • 14 Economics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Hotz, V. J., Miller, R. A., Sanders, S., & Smith, J. (1994). A Simulation Estimator for Dynamic Models of Discrete Choice. Review of Economic Studies, 61(2).
Hotz, V Joseph, Robert A. Miller, Seth Sanders, and Jeffrey Smith. “A Simulation Estimator for Dynamic Models of Discrete Choice.Review of Economic Studies 61, no. 2 (April 1994).
Hotz VJ, Miller RA, Sanders S, Smith J. A Simulation Estimator for Dynamic Models of Discrete Choice. Review of Economic Studies. 1994 Apr;61(2).
Hotz, V. Joseph, et al. “A Simulation Estimator for Dynamic Models of Discrete Choice.Review of Economic Studies, vol. 61, no. 2, Apr. 1994.
Hotz VJ, Miller RA, Sanders S, Smith J. A Simulation Estimator for Dynamic Models of Discrete Choice. Review of Economic Studies. 1994 Apr;61(2).

Published In

Review of Economic Studies

Publication Date

April 1994

Volume

61

Issue

2

Related Subject Headings

  • Economics
  • 14 Economics