Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments


Eisenhauer, Philipp ; Heckman, James J. ; Mosso, Stefano


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URL: https://ub-madoc.bib.uni-mannheim.de/37227
URN: urn:nbn:de:bsz:180-madoc-372277
Document Type: Working paper
Year of publication: 2014
The title of a journal, publication series: ZEW Discussion Papers
Volume: 14-081
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Abstract: We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in the 1980s and early 1990s. We use estimates from our model to simulate a synthetic dataset and assess the ability of ML and SMM to recover the model parameters on this sample. We investigate the performance of alternative tuning parameters for SMM.

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Eisenhauer, Philipp ; Heckman, James J. ; Mosso, Stefano (2014) Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments. Open Access ZEW Discussion Papers Mannheim 14-081 [Working paper]
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