Bayesian Estimation of Dynamic Discrete Choice Models

DOI10.3982/ECTA5658zbMath1183.62199OpenAlexW2167128659MaRDI QIDQ3402305

Susumu Imai, Neelam Jain, Andrew T. Ching

Publication date: 3 February 2010

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta5658

zbMATH Keywords

dynamic programmingMarkov chain Monte CarloBayesian estimationdiscrete choice models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Applications of mathematical programming (90C90) Dynamic programming (90C39) Numerical analysis or methods applied to Markov chains (65C40) Social choice (91B14)

Related Items (12)

Posterior-based Wald-type statistics for hypothesis testing ⋮ Estimation of Dynamic Discrete Choice Models Using Artificial Neural Network Approximations ⋮ A simple estimator for dynamic models with serially correlated unobservables ⋮ Semiparametric Bayesian estimation of dynamic discrete choice models ⋮ A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states ⋮ Divide and Conquer: Recursive Likelihood Function Integration for Hidden Markov Models with Continuous Latent Variables ⋮ A Bayesian chi-squared test for hypothesis testing ⋮ A computationally efficient fixed point approach to dynamic structural demand estimation ⋮ Nonparametric identification of dynamic models with unobserved state variables ⋮ Dynamic discrete choice structural models: a survey ⋮ Specification tests based on MCMC output ⋮ Estimation of dynamic discrete models from time aggregated data

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