Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies

DOI10.1016/J.JECONOM.2014.12.009MaRDI QIDQ494378zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3793969 (Why is no real title available?)
• A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
• An MCMC approach to classical estimation.
• Cube root asymptotics
• Discrete Choice Methods with Simulation
• Econometric specification of stochastic discount factor models
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Estimation of a Model of Entry in the Airline Industry
• Estimation of dynamic models with nonparametric simulated maximum likelihood
• Maximum score estimation of the stochastic utility model of choice
• New Donsker classes
• Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator.
• Weak convergence and empirical processes. With applications to statistics
• \(\sqrt n\)-consistent robust integration-based estimation

Cited in

(7)

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

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