Simulation Estimation Of Dynamic Discrete Choice Panel Models With Accelerated Importance Samplers  

Oleh:

Wei, Zhang ; Lung-Fei, Lee

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 1 (Jun. 2004), page 120–142.
Topik: Importance sampling; Numerical integration; Dynamic Discrete Choice Model; Panel data; Dividend decision
Fulltext: 120.pdf (206.64KB)

Isi artikel

With long time series for dynamic discrete choice panel models, the Geweke– Hajivassiliou–Keane sampler has been observed to have large biases and root-mean-square errors. The Richard–Zhang accelerated importance sampler is extended for the simulation estimation of such models. It is demonstrated to be adequate and can improve upon the Geweke Hajivassiliou–Keane sampler for lengthy time-series panels by Monte Carlo means. Empirical applications of the proposed method on firm’s dividend decisions illustrate the practical value of the accelerated importance sampler.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali