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Heterogeneity in dynamic discrete choice models

Abstract:

We consider dynamic discrete choice models with heterogeneity in both the levels parameter and the state dependence parameter. We first analyse the purchase of full fat milk using a long consumer panel (T > 100) on many households. The large T nature of the panel allows us to consistently estimate the parameters of each household separately. This analysis indicates strongly that the levels and the state dependence parameter are heterogeneous and dependently distributed. This empirical anal...

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Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2006-10-01
Paper number:
287
Keywords:
Pubs id:
507188
Local pid:
pubs:507188
Deposit date:
2020-12-14

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