Economics 244, Spring 2001, University of California, Berkeley

ECONOMICS 244: APPLIED ECONOMETRICS.
DISCRETE CHOICE METHODS WITH SIMULATION
Spring Semester 2001
Instructor: Kenneth Train

Lecture Topics and Readings

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:

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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
D. McFadden, "Conditional Logit Analysis of Qualitative Choice Behavior," [PDF] in P. Zarembka (ed.), Frontiers of Econometrics, New York, NY, Academic Press, 1974
K. Train, "A Validation Test of a Disaggregate Mode Choice Model," Transportation Research, Vol. 12, pp. 167-174, 1978.

Numerical Maximization
Do problem set 2 Textbook, Ch. 8
P. Ruud, 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

D. McFadden, "Modeling the Choice of Residential Location," [PDF] in A. Karlquist, et al. (eds.), Spatial Interaction Theory and Planning Models, Amsterdam, North-Holland Publishing Company, 1978.
K. Train, Qualitative Choice Analysis, Cambridge, MA, MIT Press, 1986, Ch. 8 [PDF]
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] RAND Journal of Economics, Vol. 18, No. 1, pp. 109-123, 1987.

Probit, part 1 Textbook, Ch. 5
J. Hausman and D. Wise, "A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogenous Preferences," [PDF] 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.
S. Lerman and C. Manski, "On the Use of Simulated Frequencies to Approximate Choice Probabilities," [PDF] in C. Manski and D. McFadden (eds.), Structural Analysis of Discrete Data with Econometric Applications, Cambridge, MA, MIT Press, 1981.
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.

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.
V. Hajivassiliou, D. McFadden, and P. Ruud, "Simulation of Multivariate Normal Rectangle Probabilities and Their Derivatives," [PDF] Journal of Econometrics, Vol. 72, No. 1-2, pp. 85-134, 1996.

Mixed Logit
Do problem set 5 Textbook, Ch. 6
D. Revelt and K. Train, "Mixed Logit with Repeated Choices," Review of Economics and Statistics, Vol. LXXX, No. 4, pp. 647-657, 1998. Preprint version is viewable here [PDF], but not the published reprint.
D. Brownstone and K. Train, "Forecasting New Product Penetration with Flexible Substitution Patterns," [PDF] 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.
D. McFadden and K. Train, "Mixed MNL Models of Discrete Response,"Journal of Applied Econometrics, Vol. 15, No. 5, pp. 447-470, 2000. Preprint version is viewable here [PDF], but not the published reprint.
K. Train, "Recreation Demand Models with Taste Variation," Land Economics, Vol. 74, No. 2, pp. 230-239, 1998. Preprint version is viewable here [PDF], but not the published reprint.
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.

Estimation with Simulation: MSL, MSM, MSS Textbook, Ch. 10
D. McFadden, "Lectures on Simulation-Assisted Statistical Inference," [PostScript] presented at EC² Conference, Florence, Italy, 1996.
D. McFadden, "A Method of Simulated Moments for Estimation of Discrete Choice Models without Numerical Integration," [PDF] 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.
A. Pakes and D. Pollard, "Simulation and the Asymptotics of Optimization Estimators," [PDF] 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.
L.-F. Lee, "On the Efficiency of Methods of Simulated Moments and Simulated Likelihood Estimation of Discrete Response Models," Econometric Theory, Vol. 8, No. 4, pp. 518-552, 1992.
V. Hajivassiliou and D. McFadden, "The Method of Simulated Scores with Application to Models of External Debt Crises," [PDF] Econometrica, Vol. 66, No. 4, pp. 863-896, 1998.
M. Keane, "A Computationally Practical Simulation Estimator for Panel Data," [PDF] 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.
V. Hajivassiliou and P. Ruud, "Classical Estimation Meethods for LDV Models using Simulation," [PDF] in 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
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 Transportation Research
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.

Conditional Distributions of Individual-level Parameters Textbook, Ch. 11
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.

Hierarchical Bayes, part 1
Do problem set 6 Textbook, Ch 12
S. Chib and E. Greenberg, "Understanding the Metropolis-Hastings Algorithm,"[PDF] 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
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.

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.
R. McCulloch and P. Rossi, "An Exact Likelihood Analysis of the Multinomial Probit Model," Journal of Econometrics, Vol. 64, No. 1-2, pp. 207-240, 1994.
G. Allenby and P. Rossi, "Marketing Models of Consumer Heterogeneity," [PDF] 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

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 D. McFadden, "Conditional Logit Analysis of Qualitative Choice Behavior," [PDF] in P. Zarembka (ed.), Frontiers of Econometrics, New York, NY, Academic Press, 1974 K. Train, "A Validation Test of a Disaggregate Mode Choice Model," Transportation Research, Vol. 12, pp. 167-174, 1978.
Numerical Maximization Do problem set 2	Textbook, Ch. 8 P. Ruud, 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 D. McFadden, "Modeling the Choice of Residential Location," [PDF] in A. Karlquist, et al. (eds.), Spatial Interaction Theory and Planning Models, Amsterdam, North-Holland Publishing Company, 1978. K. Train, Qualitative Choice Analysis, Cambridge, MA, MIT Press, 1986, Ch. 8 [PDF] 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] RAND Journal of Economics, Vol. 18, No. 1, pp. 109-123, 1987.
Probit, part 1	Textbook, Ch. 5 J. Hausman and D. Wise, "A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogenous Preferences," [PDF] 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. S. Lerman and C. Manski, "On the Use of Simulated Frequencies to Approximate Choice Probabilities," [PDF] in C. Manski and D. McFadden (eds.), Structural Analysis of Discrete Data with Econometric Applications, Cambridge, MA, MIT Press, 1981. 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.
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. V. Hajivassiliou, D. McFadden, and P. Ruud, "Simulation of Multivariate Normal Rectangle Probabilities and Their Derivatives," [PDF] Journal of Econometrics, Vol. 72, No. 1-2, pp. 85-134, 1996.
Mixed Logit Do problem set 5	Textbook, Ch. 6 D. Revelt and K. Train, "Mixed Logit with Repeated Choices," Review of Economics and Statistics, Vol. LXXX, No. 4, pp. 647-657, 1998. Preprint version is viewable here [PDF], but not the published reprint. D. Brownstone and K. Train, "Forecasting New Product Penetration with Flexible Substitution Patterns," [PDF] 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. D. McFadden and K. Train, "Mixed MNL Models of Discrete Response,"Journal of Applied Econometrics, Vol. 15, No. 5, pp. 447-470, 2000. Preprint version is viewable here [PDF], but not the published reprint. K. Train, "Recreation Demand Models with Taste Variation," Land Economics, Vol. 74, No. 2, pp. 230-239, 1998. Preprint version is viewable here [PDF], but not the published reprint. 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.
Estimation with Simulation: MSL, MSM, MSS	Textbook, Ch. 10 D. McFadden, "Lectures on Simulation-Assisted Statistical Inference," [PostScript] presented at EC² Conference, Florence, Italy, 1996. D. McFadden, "A Method of Simulated Moments for Estimation of Discrete Choice Models without Numerical Integration," [PDF] 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. A. Pakes and D. Pollard, "Simulation and the Asymptotics of Optimization Estimators," [PDF] 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. L.-F. Lee, "On the Efficiency of Methods of Simulated Moments and Simulated Likelihood Estimation of Discrete Response Models," Econometric Theory, Vol. 8, No. 4, pp. 518-552, 1992. V. Hajivassiliou and D. McFadden, "The Method of Simulated Scores with Application to Models of External Debt Crises," [PDF] Econometrica, Vol. 66, No. 4, pp. 863-896, 1998. M. Keane, "A Computationally Practical Simulation Estimator for Panel Data," [PDF] 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. V. Hajivassiliou and P. Ruud, "Classical Estimation Meethods for LDV Models using Simulation," [PDF] in 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 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 Transportation Research 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.
Conditional Distributions of Individual-level Parameters	Textbook, Ch. 11 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.
Hierarchical Bayes, part 1 Do problem set 6	Textbook, Ch 12 S. Chib and E. Greenberg, "Understanding the Metropolis-Hastings Algorithm,"[PDF] 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 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.
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. R. McCulloch and P. Rossi, "An Exact Likelihood Analysis of the Multinomial Probit Model," Journal of Econometrics, Vol. 64, No. 1-2, pp. 207-240, 1994. G. Allenby and P. Rossi, "Marketing Models of Consumer Heterogeneity," [PDF] 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