Journal ArticleDOI
Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity
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This article adapt the expectation-maximization algorithm to incorporate unobserved heterogeneity into conditional choice probability (CCP) estimators of dynamic discrete choice problems, which can be time-invariant or follow a Markov chain.Abstract:
We adapt the expectation–maximization algorithm to incorporate unobserved heterogeneity into conditional choice probability (CCP) estimators of dynamic discrete choice problems. The unobserved heterogeneity can be time-invariant or follow a Markov chain. By developing a class of problems where the difference in future value terms depends on a few conditional choice probabilities, we extend the class of dynamic optimization problems where CCP estimators provide a computationally cheap alternative to full solution methods. Monte Carlo results confirm that our algorithms perform quite well, both in terms of computational time and in the precision of the parameter estimates.read more
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References
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Maximum likelihood from incomplete data via the EM algorithm
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Finite mixture models: McLachlan/finite mixture models
Geoffrey J. McLachlan,David Peel +1 more
TL;DR: The important role of finite mixture models in statistical analysis of data is underscored by the ever-increasing rate at which articles on mixture applications appear in the statistical and geospatial literature.
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Finite Mixture Models
Geoffrey J. McLachlan,David Peel +1 more
TL;DR: The important role of finite mixture models in the statistical analysis of data is underscored by the ever-increasing rate at which articles on mixture applications appear in the mathematical and statistical literature.
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On the convergence properties of the em algorithm
TL;DR: In this paper, the EM algorithm converges to a local maximum or a stationary value of the (incomplete-data) likelihood function under conditions that are applicable to many practical situations.
Journal Article
Modeling the choice of residential location
TL;DR: The problem of translating the theory of economic choice behavior into concrete models suitable for analyzing housing location and methods for controlling the size of data collection and estimation tasks by sampling alternatives from the full set of alternatives are discussed.
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