Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies

DOI10.1016/J.JECONOM.2014.12.009zbMATH Open1337.91128OpenAlexW2132767219MaRDI QIDQ494378FDOQ494378

Authors: Dong Hoon Lee, Kyungchul Song 

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.12.009

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zbMATH Keywords

discrete choice modelscube-root asymptoticssimulated frequenciessimulated MLEsimulation bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
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• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
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• Discrete Choice Methods with Simulation
• Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator.
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Estimation of a Model of Entry in the Airline Industry
• A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models
• Estimation of dynamic models with nonparametric simulated maximum likelihood
• A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
• \(\sqrt n\)-consistent robust integration-based estimation
• New Donsker classes

Cited In (7)

• Discrete Choice Methods with Simulation
• A bootstrap-based minimum bias maximum simulated likelihood estimator of mixed logit
• Masking identification of discrete choice models under simulation methods
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Maximum simulated likelihood estimation: techniques and applications in economics
• Jackknife bias reduction for simulated maximum likelihood estimator of discrete choice models
• Estimation of heuristic switching in behavioral macroeconomic models

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