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.
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.
P. Ruud, An Introduction to Classical Econometric
Theory, New York, Oxford University Press, 2000,
Chapter 16 and Section 14.7.
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.
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.
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.
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.
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.
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.
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]
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.
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.
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:
Ghostview PS Viewer
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
Numerical Maximization
Do problem set 2
Textbook, Ch. 8
GEV/Nested Logit
Do problem set 3
Textbook, Ch. 4
Probit, part 1
Textbook, Ch. 5
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.
Mixed Logit
Do problem set 5
Textbook, Ch. 6
Estimation with Simulation: MSL, MSM, MSS
Textbook, Ch. 10
Variance reduction: antithetics and Halton draws
Textbook, Section 9.3
Conditional Distributions of Individual-level Parameters
Textbook, Ch. 11
Hierarchical Bayes, part 1
Do problem set 6
Textbook, Ch 12
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.
Other models: variations on our themes
Textbook, Ch. 7