Economics at your fingertips  

Finite Mixture Distribution, Sequential Likelihood, and the EM Algorithm

Peter Arcidiacono and John Jones

No 00-16, Working Papers from Duke University, Department of Economics

Abstract: The use of finite mixture distributions to control for unobserved heterogeneity has become increasingly popular among those estimating dynamic discrete choice models. One of the barriers to using mixture models is that parameters that could previously be estimated in stages must now be estimated jointly: using mixture distributions destroys any additive separability of the log likelihood function. The EM algorithm reintroduces additive separability, however, thus allowing the option of estimating parameters sequentially during each maximization step. We show that, relative to full information maximum likelihood, the EM algorithm with sequential maximization (ESM) can generate large computational savings with little loss of efficiency.

JEL-codes: C13 C61 D90 (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) main text

Related works:
Journal Article: Finite Mixture Distributions, Sequential Likelihood and the EM Algorithm (2003)
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:

Access Statistics for this paper

More papers in Working Papers from Duke University, Department of Economics Department of Economics Duke University 213 Social Sciences Building Box 90097 Durham, NC 27708-0097.
Bibliographic data for series maintained by Department of Economics Webmaster ().

Page updated 2023-12-09
Handle: RePEc:duk:dukeec:00-16