Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers

Wei Zhang and Lung-Fei Lee

Econometrics Journal, 2004, vol. 7, issue 1, 120-142

Abstract: With long time series for dynamic discrete choice panel models, the Geweke--Hajivassiliou--Keane sampler has been observed to have large biases and root-mean-square errors. The Richard--Zhang accelerated importance sampler is extended for the simulation estimation of such models. It is demonstrated to be adequate and can improve upon the Geweke--Hajivassiliou--Keane sampler for lengthy time-series panels by Monte Carlo means. Empirical applications of the proposed method on firm's dividend decisions illustrate the practical value of the accelerated importance sampler. Copyright Royal Economic Socciety 2004

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:7:y:2004:i:1:p:120-142

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