A SIMULATION ESTIMATOR FOR DYNAMIC-MODELS OF DISCRETE-CHOICE

被引：85

作者：

HOTZ, VJ ^{[1
]}

MILLER, RA ^{[1
]}

SANDERS, S ^{[1
]}

SMITH, J ^{[1
]}

机构：

[1] CARNEGIE MELLON UNIV,PITTSBURGH,PA 15213

来源：

REVIEW OF ECONOMIC STUDIES | 1994年 / 61卷 / 02期

基金：

美国国家科学基金会;

关键词：

D O I：

10.2307/2297981

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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).

引用

页码：265 / 289

页数：25

共 19 条

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ALTUG S, 1990, HUMAN CAPITAL ACCUMU

[2] JOB EXIT BEHAVIOR OF OLDER MEN [J].