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

Philipp Eisenhauer; James J. Heckman; Stefano Mosso

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.

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Year of publication:	2014
Authors:	Eisenhauer, Philipp ; Heckman, James J. ; Mosso, Stefano
Publisher:	Bonn : IZA
Subject:	returns to education \| dynamic discrete choice \| simulation-based estimation \| Bildungsertrag \| Returns to education \| Bildungsverhalten \| Educational behaviour \| Diskrete Entscheidung \| Discrete choice \| Dynamische Ökonometrie \| Dynamic econometrics \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Momentenmethode \| Method of moments \| Theorie \| Theory \| Schätzung \| Estimation \| USA \| United States

Extent:	Online-Ressource (47 S.) graph. Darst.
Series:	Discussion paper series / IZA. - Bonn : IZA, ZDB-ID 2120053-1. - Vol. 8548
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzung: Acrobat Reader
Other identifiers:	hdl:10419/104682 [Handle]
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C35 - Discrete Regression and Qualitative Choice Models ; I21 - Analysis of Education
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010418037