Publication:
PPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocks

dc.contributor.authorArtuc, Erhan
dc.date.accessioned2013-09-26T14:13:00Z
dc.date.available2013-09-26T14:13:00Z
dc.date.issued2013-06
dc.description.abstractThis 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.en
dc.identifierhttp://documents.worldbank.org/curated/en/2013/06/17849032/ppml-estimation-dynamic-discrete-choice-models-aggregate-shocks
dc.identifier.urihttps://hdl.handle.net/10986/15841
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research working paper;no. WPS 6480
dc.relation.ispartofseriesPolicy Research Working Paper;No. 6480
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectAGRICULTURE
dc.subjectASYMPTOTICALLY EQUIVALENT
dc.subjectBENCHMARK
dc.subjectCALIBRATION
dc.subjectCOEFFICIENTS
dc.subjectCONSISTENT ESTIMATES
dc.subjectCONSUMER PRICE INDEX
dc.subjectCUMULATIVE DISTRIBUTION FUNCTION
dc.subjectDECISION MAKING
dc.subjectDEPENDENT VARIABLE
dc.subjectDESCRIPTIVE STATISTICS
dc.subjectDEVELOPMENT ECONOMICS
dc.subjectDEVELOPMENT POLICY
dc.subjectDEVELOPMENT RESEARCH
dc.subjectDISCOUNT RATE
dc.subjectDISTRIBUTIONAL ASSUMPTIONS
dc.subjectDYNAMIC MODELS
dc.subjectECONOMETRICS
dc.subjectECONOMICS LITERATURE
dc.subjectECONOMICS RESEARCH
dc.subjectEQUATIONS
dc.subjectERROR
dc.subjectESTIMATORS
dc.subjectEXPECTED VALUE
dc.subjectEXPECTED VALUES
dc.subjectFIXED EFFECTS
dc.subjectINSTRUMENTAL VARIABLES
dc.subjectINTERNATIONAL TRADE
dc.subjectJOURNAL OF ECONOMETRICS
dc.subjectLARGE NUMBER
dc.subjectLIKELIHOOD FUNCTION
dc.subjectLINEAR REGRESSION
dc.subjectLINEAR TIME
dc.subjectLOGARITHMS
dc.subjectLOGIT ANALYSIS
dc.subjectMACROECONOMIC SHOCKS
dc.subjectMARGINAL PRODUCTS
dc.subjectMATRICES
dc.subjectMATRIX
dc.subjectMAXIMUM LIKELIHOOD
dc.subjectMAXIMUM LIKELIHOOD ESTIMATION
dc.subjectMODELING
dc.subjectMONTE CARLO SIMULATION
dc.subjectNUMBER OF OBSERVATIONS
dc.subjectNUMBER OF PARAMETERS
dc.subjectOPEN ECONOMY
dc.subjectORTHOGONALITY
dc.subjectPANEL DATA
dc.subjectPERIOD T
dc.subjectPRECISION
dc.subjectPROBABILITIES
dc.subjectPROBABILITY
dc.subjectPROBABILITY DENSITY
dc.subjectPROBABILITY DENSITY FUNCTION
dc.subjectPRODUCTION FUNCTION
dc.subjectPRODUCTION FUNCTIONS
dc.subjectREGRESSION ANALYSIS
dc.subjectREGRESSION EQUATION
dc.subjectREGRESSION EQUATIONS
dc.subjectRESEARCH WORKING PAPERS
dc.subjectRISK NEUTRAL
dc.subjectSAMPLE SIZE
dc.subjectSCENARIOS
dc.subjectSIMULATION
dc.subjectSIMULATIONS
dc.subjectSMALL SAMPLE
dc.subjectSTANDARD DEVIATION
dc.subjectSTANDARD ERRORS
dc.subjectSTATIONARY PROCESSES
dc.subjectSTRUCTURAL ANALYSIS
dc.subjectSTRUCTURAL PARAMETERS
dc.subjectTIME PERIOD
dc.subjectTIME SERIES
dc.subjectTIME TRENDS
dc.subjectTRADE POLICY
dc.subjectUTILITY FUNCTION
dc.subjectWAGES
dc.subjectWEIGHTING
dc.subjectPoisson pseudo maximum likelihood
dc.subjectlabor mobility
dc.subjectmigration
dc.subjectdiscrete choice models
dc.subjectgravity equation
dc.titlePPML Estimation of Dynamic Discrete Choice Models with Aggregate Shocksen
dspace.entity.typePublication
okr.date.disclosure2013-06-01
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2013/06/17849032/ppml-estimation-dynamic-discrete-choice-models-aggregate-shocks
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeEducation
okr.globalpracticeTransport and ICT
okr.identifier.doi10.1596/1813-9450-6480
okr.identifier.externaldocumentum000158349_20130612161641
okr.identifier.internaldocumentum17849032
okr.identifier.reportWPS6480
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2013/06/12/000158349_20130612161641/Rendered/PDF/WPS6480.pdfen
okr.sectorIndustry and trade :: Other domestic and international trade
okr.themeTrade and integration :: Other trade and integration
okr.topicStatistical and Mathematical Sciences
okr.topicScience Education
okr.topicEconomic Theory and Research
okr.topicScientific Research and Science Parks
okr.topicMacroeconomics and Economic Growth::Econometrics
okr.topicEducation
okr.topicScience and Technology Development
okr.unitInternational Trade Department (PRMTR)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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