Journal article
Heterogeneity in dynamic discrete choice models.
- Abstract:
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We consider dynamic discrete choice models with heterogeneity in both the levels parameter and the state dependence parameter. We first present an empirical analysis that motivates the theoretical analysis which follows. The theoretical analysis considers a simple two-state, first-order Markov chain model without covariates in which both transition probabilities are heterogeneous. Using such a model we are able to derive exact small sample results for bias and mean squared error (MSE). We dis...
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(pdf, 725.0KB)
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- Publisher copy:
- 10.1111/j.1368-423X.2009.00301.x
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Authors
Bibliographic Details
- Publisher:
- Blackwell Publishing
- Journal:
- Econometrics Journal
- Volume:
- 13
- Issue:
- 1
- Pages:
- 1 - 39
- Publication date:
- 2010-01-01
- DOI:
- ISSN:
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1368-4221
Item Description
- Language:
- English
- UUID:
-
uuid:ec5779c5-881c-48e5-9bce-8ec060241920
- Local pid:
- oai:economics.ouls.ox.ac.uk:14764
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2010
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