PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks
This paper introduces a computationally efficient method for estimating structural parameters of dynamic discrete choice models with large choice sets. The method is based on Poisson pseudo maximum likelihood (PPML) regression, which is widely used...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank, Washington, DC
2013
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| Online Access: | http://documents.worldbank.org/curated/en/2013/06/17849032/ppml-estimation-dynamic-discrete-choice-models-aggregate-shocks http://hdl.handle.net/10986/15841 |
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okr-10986-158412021-04-23T14:03:23Z PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks Artuc, Erhan AGRICULTURE ASYMPTOTICALLY EQUIVALENT BENCHMARK CALIBRATION COEFFICIENTS CONSISTENT ESTIMATES CONSUMER PRICE INDEX CUMULATIVE DISTRIBUTION FUNCTION DECISION MAKING DEPENDENT VARIABLE DESCRIPTIVE STATISTICS DEVELOPMENT ECONOMICS DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISCOUNT RATE DISTRIBUTIONAL ASSUMPTIONS DYNAMIC MODELS ECONOMETRICS ECONOMICS LITERATURE ECONOMICS RESEARCH EQUATIONS ERROR ESTIMATORS EXPECTED VALUE EXPECTED VALUES FIXED EFFECTS INSTRUMENTAL VARIABLES INTERNATIONAL TRADE JOURNAL OF ECONOMETRICS LARGE NUMBER LIKELIHOOD FUNCTION LINEAR REGRESSION LINEAR TIME LOGARITHMS LOGIT ANALYSIS MACROECONOMIC SHOCKS MARGINAL PRODUCTS MATRICES MATRIX MAXIMUM LIKELIHOOD MAXIMUM LIKELIHOOD ESTIMATION MODELING MONTE CARLO SIMULATION NUMBER OF OBSERVATIONS NUMBER OF PARAMETERS OPEN ECONOMY ORTHOGONALITY PANEL DATA PERIOD T PRECISION PROBABILITIES PROBABILITY PROBABILITY DENSITY PROBABILITY DENSITY FUNCTION PRODUCTION FUNCTION PRODUCTION FUNCTIONS REGRESSION ANALYSIS REGRESSION EQUATION REGRESSION EQUATIONS RESEARCH WORKING PAPERS RISK NEUTRAL SAMPLE SIZE SCENARIOS SIMULATION SIMULATIONS SMALL SAMPLE STANDARD DEVIATION STANDARD ERRORS STATIONARY PROCESSES STRUCTURAL ANALYSIS STRUCTURAL PARAMETERS TIME PERIOD TIME SERIES TIME TRENDS TRADE POLICY UTILITY FUNCTION WAGES WEIGHTING Poisson pseudo maximum likelihood labor mobility migration discrete choice models gravity equation This paper introduces a computationally efficient method for estimating structural parameters of dynamic discrete choice models with large choice sets. The method is based on Poisson pseudo maximum likelihood (PPML) regression, which is widely used in the international trade and migration literature to estimate the gravity equation. Unlike most of the existing methods in the literature, it does not require strong parametric assumptions on agents' expectations, thus it can accommodate macroeconomic and policy shocks. The regression requires count data as opposed to choice probabilities; therefore it can handle sparse decision transition matrices caused by small sample sizes. As an example application, the paper estimates sectoral worker mobility in the United States. 2013-09-26T14:13:00Z 2013-09-26T14:13:00Z 2013-06 http://documents.worldbank.org/curated/en/2013/06/17849032/ppml-estimation-dynamic-discrete-choice-models-aggregate-shocks http://hdl.handle.net/10986/15841 English en_US Policy Research working paper;no. WPS 6480 Policy Research Working Paper;No. 6480 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
AGRICULTURE ASYMPTOTICALLY EQUIVALENT BENCHMARK CALIBRATION COEFFICIENTS CONSISTENT ESTIMATES CONSUMER PRICE INDEX CUMULATIVE DISTRIBUTION FUNCTION DECISION MAKING DEPENDENT VARIABLE DESCRIPTIVE STATISTICS DEVELOPMENT ECONOMICS DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISCOUNT RATE DISTRIBUTIONAL ASSUMPTIONS DYNAMIC MODELS ECONOMETRICS ECONOMICS LITERATURE ECONOMICS RESEARCH EQUATIONS ERROR ESTIMATORS EXPECTED VALUE EXPECTED VALUES FIXED EFFECTS INSTRUMENTAL VARIABLES INTERNATIONAL TRADE JOURNAL OF ECONOMETRICS LARGE NUMBER LIKELIHOOD FUNCTION LINEAR REGRESSION LINEAR TIME LOGARITHMS LOGIT ANALYSIS MACROECONOMIC SHOCKS MARGINAL PRODUCTS MATRICES MATRIX MAXIMUM LIKELIHOOD MAXIMUM LIKELIHOOD ESTIMATION MODELING MONTE CARLO SIMULATION NUMBER OF OBSERVATIONS NUMBER OF PARAMETERS OPEN ECONOMY ORTHOGONALITY PANEL DATA PERIOD T PRECISION PROBABILITIES PROBABILITY PROBABILITY DENSITY PROBABILITY DENSITY FUNCTION PRODUCTION FUNCTION PRODUCTION FUNCTIONS REGRESSION ANALYSIS REGRESSION EQUATION REGRESSION EQUATIONS RESEARCH WORKING PAPERS RISK NEUTRAL SAMPLE SIZE SCENARIOS SIMULATION SIMULATIONS SMALL SAMPLE STANDARD DEVIATION STANDARD ERRORS STATIONARY PROCESSES STRUCTURAL ANALYSIS STRUCTURAL PARAMETERS TIME PERIOD TIME SERIES TIME TRENDS TRADE POLICY UTILITY FUNCTION WAGES WEIGHTING Poisson pseudo maximum likelihood labor mobility migration discrete choice models gravity equation |
| spellingShingle |
AGRICULTURE ASYMPTOTICALLY EQUIVALENT BENCHMARK CALIBRATION COEFFICIENTS CONSISTENT ESTIMATES CONSUMER PRICE INDEX CUMULATIVE DISTRIBUTION FUNCTION DECISION MAKING DEPENDENT VARIABLE DESCRIPTIVE STATISTICS DEVELOPMENT ECONOMICS DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISCOUNT RATE DISTRIBUTIONAL ASSUMPTIONS DYNAMIC MODELS ECONOMETRICS ECONOMICS LITERATURE ECONOMICS RESEARCH EQUATIONS ERROR ESTIMATORS EXPECTED VALUE EXPECTED VALUES FIXED EFFECTS INSTRUMENTAL VARIABLES INTERNATIONAL TRADE JOURNAL OF ECONOMETRICS LARGE NUMBER LIKELIHOOD FUNCTION LINEAR REGRESSION LINEAR TIME LOGARITHMS LOGIT ANALYSIS MACROECONOMIC SHOCKS MARGINAL PRODUCTS MATRICES MATRIX MAXIMUM LIKELIHOOD MAXIMUM LIKELIHOOD ESTIMATION MODELING MONTE CARLO SIMULATION NUMBER OF OBSERVATIONS NUMBER OF PARAMETERS OPEN ECONOMY ORTHOGONALITY PANEL DATA PERIOD T PRECISION PROBABILITIES PROBABILITY PROBABILITY DENSITY PROBABILITY DENSITY FUNCTION PRODUCTION FUNCTION PRODUCTION FUNCTIONS REGRESSION ANALYSIS REGRESSION EQUATION REGRESSION EQUATIONS RESEARCH WORKING PAPERS RISK NEUTRAL SAMPLE SIZE SCENARIOS SIMULATION SIMULATIONS SMALL SAMPLE STANDARD DEVIATION STANDARD ERRORS STATIONARY PROCESSES STRUCTURAL ANALYSIS STRUCTURAL PARAMETERS TIME PERIOD TIME SERIES TIME TRENDS TRADE POLICY UTILITY FUNCTION WAGES WEIGHTING Poisson pseudo maximum likelihood labor mobility migration discrete choice models gravity equation Artuc, Erhan PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks |
| relation |
Policy Research working paper;no. WPS 6480 |
| description |
This paper introduces a computationally
efficient method for estimating structural parameters of
dynamic discrete choice models with large choice sets. The
method is based on Poisson pseudo maximum likelihood (PPML)
regression, which is widely used in the international trade
and migration literature to estimate the gravity equation.
Unlike most of the existing methods in the literature, it
does not require strong parametric assumptions on
agents' expectations, thus it can accommodate
macroeconomic and policy shocks. The regression requires
count data as opposed to choice probabilities; therefore it
can handle sparse decision transition matrices caused by
small sample sizes. As an example application, the paper
estimates sectoral worker mobility in the United States. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Artuc, Erhan |
| author_facet |
Artuc, Erhan |
| author_sort |
Artuc, Erhan |
| title |
PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks |
| title_short |
PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks |
| title_full |
PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks |
| title_fullStr |
PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks |
| title_full_unstemmed |
PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks |
| title_sort |
ppml estimation of dynamic discrete choice models with aggregate shocks |
| publisher |
World Bank, Washington, DC |
| publishDate |
2013 |
| url |
http://documents.worldbank.org/curated/en/2013/06/17849032/ppml-estimation-dynamic-discrete-choice-models-aggregate-shocks http://hdl.handle.net/10986/15841 |
| _version_ |
1764431590401769472 |