Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments

Philipp Eisenhauer and James Heckman

No 14-081, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in the 1980s and early 1990s. We use estimates from our model to simulate a synthetic dataset and assess the ability of ML and SMM to recover the model parameters on this sample. We investigate the performance of alternative tuning parameters for SMM.

Date: 2014
New Economics Papers: this item is included in nep-dcm
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: ESTIMATION OF DYNAMIC DISCRETE CHOICE MODELS BY MAXIMUM LIKELIHOOD AND THE SIMULATED METHOD OF MOMENTS (2015)
Working Paper: Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments (2014)
Working Paper: Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:14081

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