Semi-Parametric Inference in Dynamic Binary Choice Models
نویسندگان
چکیده
منابع مشابه
Comparison of parametric and semi-parametric binary response models
A Bayesian semi-parametric estimation of the binary response model using Markov Chain Monte Carlo algorithms is proposed. The performances of the parametric and semi-parametric models are presented. The mean squared errors, receiver operating characteristic curve, and the marginal effect are used as the model selection criteria. Simulated data and Monte Carlo experiments show that unless the bi...
متن کاملIterative Least Squares Estimator of Binary Choice Models: a Semi-Parametric Approach
Most existing semi-parametric estimation procedures for binary choice models are based on the maximum score, maximum likelihood, or nonlinear least squares principles. These methods have two problems. They are difficult to compute and they may result in multiple local optima because they require optimizing nonlinear objective functions which may not be unimode. These problems are exacerbated wh...
متن کاملA Robust Semi-parametric Inference of Dynamic Discrete Games1
Zhengyuan Gao This paper considers the dynamic discrete game model with fixed points in the worst case and with incomplete beliefs. In the worst case, an -approximation to a fixed point does not lead to the consistent second step estimator of the parametric structural parameters. Given certain structures of the value function, we propose an alternative two-step inference algorithm. The first st...
متن کاملNonparametric vs parametric binary choice models: An empirical investigation
The estimation of conditional probability distribution functions (PDFs) in a kernel nonparametric framework has recently received attention. As emphasized by Hall, Racine & Li (2004), these conditional PDFs are extremely useful for a range of tasks including modelling and predicting consumer choice. The aim of this paper is threefold. First, we implement nonparametric kernel estimation of PDF w...
متن کاملBayesian Identification of Semi-Parametric Binary Response Models
In this paper, minimal conditions under which a semi-parametric binary response model is identified in a Bayesian framework are presented and compared to the conditions usually required in a sampling theory framework. Running headline: Semi-parametric Binary Response Models.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2340003