DISCRETE CHOICE METHODS WITH SIMULATION

Spring Semester 2001

Instructor: Kenneth Train

This list of topics and readings is for the Spring 2001 version of my course. It is to be used in conjuction with the
video-taped lectures,
which follow this outline.

Note: Many of the links are accessible only from hosts in the
Berkeley.EDU domain, or from hosts at other institutions that have
subscriptions to the relevant e-journals, and/or have not installed a
firewall that prevents downloading from anonymous ftp sites. The
internet is not yet quite as free as it could be!

Textbook for the course:
Discrete Choice Methods with Simulation

If you do not have PostScript and/or PDF viewers, you can download them from these sites:

D. McFadden,
"Conditional Logit Analysis of Qualitative Choice
Behavior," [PDF]
in P. Zarembka (ed.),
K. Train, "A Validation Test of a Disaggregate Mode Choice Model,"
P. Ruud,
D. McFadden,
"Modeling the Choice of
Residential Location," [PDF] in A. Karlquist,
K. Train,
K. Train, D. McFadden, and M. Ben-Akiva,
"The Demand for Local Telephone Service:
A Fully Discrete Model of Residential Calling Patterns
and Service Choices," [PDF]
J. Hausman and D. Wise,
"A Conditional Probit
Model for Qualitative Choice: Discrete
Decisions Recognizing Interdependence and
Heterogenous Preferences," [PDF]
S. Lerman and C. Manski,
"On the Use of Simulated
Frequencies to Approximate Choice Probabilities," [PDF]
in C. Manski and D. McFadden (eds.),
M. Ben-Akiva and D. Bolduc,
"Multinomial Probit with a
Logit Kernel and a General Parametric Specification of the
Covariance Structure," [PDF] working paper, 1996, Department d'Economique,
Universite Laval, Quebec, Canada.
V. Hajivassiliou, D. McFadden, and P. Ruud,
"Simulation of Multivariate Normal Rectangle Probabilities and
Their Derivatives," [PDF]
D. Revelt and K. Train, "Mixed Logit
with Repeated Choices,"
D. Brownstone and K. Train,
"Forecasting New Product Penetration
with Flexible Substitution
Patterns," [PDF]
D. McFadden and K. Train,
"Mixed MNL Models of Discrete
Response,"
K. Train, "Recreation Demand Models with Taste Variation,"
M. Ben-Akiva, Denis Bolduc, and Joan Walker,
"Specification, Identification, and Estimation of the
Logit Kernel (or Continuous Mixed Logit) Model,"
[PDF] DRAFT, February 2001.
D. McFadden,
"Lectures on Simulation-Assisted
Statistical Inference," [PostScript] presented at
EC
D. McFadden,
"A Method of Simulated Moments for
Estimation of Discrete Choice Models without
Numerical Integration," [PDF]
A. Pakes and D. Pollard,
"Simulation and the Asymptotics of
Optimization Estimators," [PDF]
L.-F. Lee, "On the Efficiency of Methods of Simulated Moments
and Simulated Likelihood Estimation of Discrete Response Models,"
V. Hajivassiliou and D. McFadden,
"The Method
of Simulated Scores with Application to Models
of External Debt Crises," [PDF]
M. Keane,
"A Computationally Practical Simulation Estimator
for Panel Data," [PDF]
V. Hajivassiliou and P. Ruud,
"Classical Estimation
Meethods for LDV Models using Simulation,"
[PDF] in
C. Bhat,
"Quasi-Random Maxium Simulated Likelihood Estimation
of the Mixed Multinomial Logit Model," [PDF] working paper, Department
of Civil Engineering, University of Texas, Austin, 1999, forthcoming
in
K. Train,
"Halton Sequences for Mixed Logit," [PDF]
working paper no. E00-278,
Department of Economics, University of California,
Berkeley, 2000.
C. Bhat,
"Simulation Estimation of Discrete
Choice Models Using Randomized and Scrambled Halton
Sequences," [PDF] working paper, Department of Civil
Engineering, University of Texas, Austin, 2001.
D. Revelt and K. Train,
"Customer-Specific Taste Parameters and Mixed Logit,"
[PDF]
working paper no. E00-274, Department of Economics
University of California, Berkeley, 2000.
S. Chib and E. Greenberg,
"Understanding the
Metropolis-Hastings Algorithm,"[PDF]
Sawtooth Software, "The CBC/HB Module for Hierarchical Bayes,"
Sawtooth homepage.
J. Huber and K. Train,
"On the Similarity of Classical and Bayesian
Estimates of Individual Mean Partworths," [PDF] working paper no. E00-289,
Department of Economics, University of California, Berkeley, 2000. Subsequently published in Marketing Letters, Vol. 12, No. 3, pp. 257-267, 2001.
R. McCulloch and P. Rossi, "An Exact Likelihood Analysis
of the Multinomial Probit Model,"
G. Allenby and P. Rossi,
"Marketing Models
of Consumer Heterogeneity," [PDF]

**Topic**
**Assigned Readings**
Introduction &

Drawing from Densities
Textbook, Ch.1 and Sections 9.1-9.2
Properties of Discrete Choice Model; Logit

Do problem set 1
Textbook, Chs. 2 and 3
**Frontiers of Econometrics**,
New York, NY, Academic Press, 1974
**Transportation Research**, Vol. 12, pp. 167-174, 1978.
Numerical Maximization

Do problem set 2
Textbook, Ch. 8
**An Introduction to Classical Econometric
Theory**, New York, Oxford University Press, 2000,
Chapter 16 and Section 14.7.
GEV/Nested Logit

Do problem set 3
Textbook, Ch. 4

* et al.*
(eds.), **Spatial Interaction Theory and Planning
Models**, Amsterdam, North-Holland Publishing Company,
1978.
**Qualitative Choice Analysis**,
Cambridge, MA, MIT Press, 1986,
Ch. 8 [PDF]
**RAND Journal of Economics**, Vol. 18, No. 1,
pp. 109-123, 1987.
Probit, part 1
Textbook, Ch. 5
**Econometrica**, Vol. 48,
No. 2, pp. 403-426, 1978.
Note: this link is only
valid from hosts in the Berkeley.EDU domain. You cannot
access the reprint from any host outside the domain. Use
the Library's proxy server to authenticate you to
the California Digital Library
if you are connecting through a private provider **and**
you are a student, faculty member, or staff member at the
University of California, Berkeley. From the CDL link,
go to the subscription to JSTOR.
**Structural Analysis of Discrete Data with
Econometric Applications**, Cambridge, MA,
MIT Press, 1981.
Probit, part 2

Do problem set 4
A. Boersch-Supan and V. Hajivassiliou,
"Smooth Unbiased Multivariate Probability
Simulators for Maximum Likelihood Estimation of Limited
Dependent Variables,"
**Journal of Econometrics**,
Vol. 58, pp. 347-368, 1993.
**Journal of Econometrics**,
Vol. 72, No. 1-2, pp. 85-134, 1996.
Mixed Logit

Do problem set 5
Textbook, Ch. 6
**Review of
Economics and Statistics**, Vol. LXXX, No. 4,
pp. 647-657, 1998.
Preprint version is viewable
here [PDF], but not the published reprint.
**Journal of Econometrics**,
Vol. 89, No. 1-2, pp. 109-129, 1998/99.
Note: this link is only
valid from hosts in the Berkeley.EDU domain. You cannot
access the reprint from any host outside the domain. Use
the Library's proxy server to authenticate you to
the California Digital Library
if you are connecting through a private provider **and**
you are a student, faculty member, or staff member at the
University of California, Berkeley. From the CDL link,
go to the subscription to the Journal of Econometrics.
**Journal of Applied Econometrics**,
Vol. 15, No. 5, pp. 447-470, 2000.
Preprint version is viewable
here [PDF], but not the published reprint.
**Land Economics**, Vol. 74, No. 2, pp. 230-239, 1998.
Preprint version is viewable
here [PDF], but not the published reprint.
Estimation with Simulation: MSL, MSM, MSS
Textbook, Ch. 10
^{2} Conference, Florence, Italy, 1996.
**Econometrica**, Vol. 57, No. 5, pp. 995-1026, 1989.
Note: this link is only
valid from hosts in the Berkeley.EDU domain. You cannot
access the reprint from any host outside the domain. Use
the Library's proxy server to authenticate you to
the California Digital Library
if you are connecting through a private provider **and**
you are a student, faculty member, or staff member at the
University of California, Berkeley. From the CDL link,
go to the subscription to JSTOR.
**Econometrica**, Vol. 57, No. 5,
pp. 1027-1057, 1989.
Note: this link is only
valid from hosts in the Berkeley.EDU domain. You cannot
access the reprint from any host outside the domain. Use
the Library's proxy server to authenticate you to
the California Digital Library
if you are connecting through a private provider **and**
you are a student, faculty member, or staff member at the
University of California, Berkeley. From the CDL link,
go to the subscription to JSTOR.
**Econometric Theory**, Vol. 8, No. 4, pp. 518-552, 1992.
**Econometrica**, Vol. 66, No. 4, pp. 863-896, 1998.
**Econometrica**, Vol. 62,
No. 1, pp. 95-116, 1994.
Note: this link is only
valid from hosts in the Berkeley.EDU domain. You cannot
access the reprint from any host outside the domain. Use
the Library's proxy server to authenticate you to
the California Digital Library
if you are connecting through a private provider **and**
you are a student, faculty member, or staff member at the
University of California, Berkeley. From the CDL link,
go to the subscription to JSTOR.
**Handbook of Econometrics**, R. Engle and D. McFadden
(eds.), New York, NY, Elsevier Science, 1994.
Variance reduction: antithetics and Halton draws
Textbook, Section 9.3
**Transportation Research**
Conditional Distributions of Individual-level Parameters
Textbook, Ch. 11
Hierarchical Bayes, part 1

Do problem set 6
Textbook, Ch 12
**The American Statistician**, Vol. 49, pp. 327-335, 1995.
Reproduced with permission from The American Statistician.
Copyright 1995 by the American Statistical Association.
All rights reserved
Hierarchical Bayes, part 2
J. Albert and S. Chib, "Bayesian Analysis of Binary and Polychomotomous
Response Data,"
**Journal of the American Statistical Association**, Vol. 88, No.
422, June 1993, Theory and Methods.
**Journal of Econometrics**,
Vol. 64, No. 1-2, pp. 207-240, 1994.
**Journal of Econometrics**, Vol. 89, No. 1-2, pp. 57-78, 1998/99.
Note: this link is only
valid from hosts in the Berkeley.EDU domain. You cannot
access the reprint from any host outside the domain. Use
the Library's proxy server to authenticate you to
the California Digital Library
if you are connecting through a private provider **and**
you are a student, faculty member, or staff member at the
University of California, Berkeley. From the CDL link,
go to the subscription to Elsevier Journals.
Other models: variations on our themes
Textbook, Ch. 7