Bayesian procedures as a numerical tool for the estimation of an intertemporal discrete choice model

Peter Haan, Daniel Kemptner () and Arne Uhlendorff

Empirical Economics, 2015, vol. 49, issue 3, 1123-1141

Abstract: Discrete choice models usually require a general specification of unobserved heterogeneity. In this paper, we apply Bayesian procedures as a numerical tool for the estimation of a female labor supply model based on a sample size that is typical for common household panels. We provide two important results for the practitioner: First, for a specification with a multivariate normal distribution for the unobserved heterogeneity, the Bayesian MCMC estimator yields almost identical results as a classical maximum simulated likelihood (MSL) estimator. Second, we show that when imposing distributional assumptions that are consistent with economic theory, e.g., log-normally distributed consumption preferences, the Bayesian method performs well and provides reasonable estimates, while the MSL estimator does not converge. These results indicate that Bayesian procedures can be a beneficial tool for the estimation of intertemporal discrete choice models. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Bayesian estimation; Discrete choice models; Intertemporal labor supply behavior; C11; C25; J22 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-014-0906-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:49:y:2015:i:3:p:1123-1141

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-014-0906-7

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().