DISCRETE CHOICE METHODS WITH SIMULATION

Spring Semester 2012

Instructor: Kenneth Train

Textbook for the course:
Discrete Choice Methods with Simulation, 2nd edition

**Topic**
**Readings**
January 23

**Introduction &
Drawing from Densities**

Start problem set 1

D. McFadden,
"Conditional Logit Analysis of Qualitative Choice
Behavior,"
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.

Start problem set 2

P. Ruud, **An Introduction to Classical Econometric
Theory**, New York, Oxford University Press, 2000,
Chapter 16 and Section 14.7.

Start problem set 3

D. McFadden,
"Modeling the Choice of
Residential Location," 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: Automobile Ownership and Use

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,"
**RAND Journal of Economics**, Vol. 18, No. 1,
pp. 109-123, 1987.

Start problem set 4

D. Revelt and K. Train, "Mixed Logit
with Repeated Choices," **Review of
Economics and Statistics**, Vol. LXXX, No. 4,
pp. 647-657, 1998.

D. Brownstone and K. Train,
"Forecasting New Product Penetration
with Flexible Substitution
Patterns," **Journal of Econometrics**,
Vol. 89, No. 1-2, pp. 109-129, 1998/99.

D. McFadden and K. Train,
"Mixed MNL Models of Discrete
Response,"**Journal of Applied Econometrics**,
Vol. 15, No. 5, pp. 447-470, 2000.

K. Train, "Recreation Demand Models with Taste Variation,"
**Land Economics**, Vol. 74, No. 2, pp. 230-239, 1998.

K. Train and M. Weeks,
"Discrete Choice Models in Preference Space and Willingness-to-pay Space,"
in **Applications of Simulation Methods in Environmental and Resource Economics,** R. Scarpa and A Alberini, eds., Springer, Dordrecht,
2005.

J. Walker, M. Ben-Akiva, and D. Bolduc,
"Identification of Parameters in Normal Error Component Logit Mixture (NECLM) Models,"
**Journal of Applied Econometrics**, Vol. 22, pp 1095-1025, 2007.

Start problem set 5

J. Hausman and D. Wise,
"A Conditional Probit
Model for Qualitative Choice: Discrete
Decisions Recognizing Interdependence and
Heterogenous Preferences,"
**Econometrica**, Vol. 48,
No. 2, pp. 403-426, 1978.

S. Lerman and C. Manski,
"On the Use of Simulated
Frequencies to Approximate Choice Probabilities,"
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," working paper, 1996, Department d'Economique, Universite Laval, Quebec, Canada.

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," **Journal of Econometrics**,
Vol. 72, No. 1-2, pp. 85-134, 1996.

C. Bhat,
"Quasi-Random Maxium Simulated Likelihood Estimation
of the Mixed Multinomial Logit Model,"
**Transportation Research, Part B,**
Vol. 35, pp. 677-693, 2001.
Preprint version is viewable
here, but not the published reprint.

K. Train, "Halton Sequences for Mixed Logit," 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
**Transportation Research, Part B,**
Vol. 37, No. 9, pp. 837-855, 2003.

S. Hess, K. Train, and J. Polak,
"On the Use of a Modified Latin Hypercube Sampling (MLHS) Method in the
Estimation of a Mixed Logit Model for Vehicle Choice,"
**Transportation Research, Part B,**
Vol. 40, No. 2, pp. 147-167, 2006.

Z. Sandor and K. Train,
"Quasi-random Simulation of Discrete Choice Models,"
**Transportation Research, Part B,**
Vol. 38, pp. 313-327, 2004.

D. McFadden,
"Lectures on Simulation-Assisted
Statistical Inference," presented at
EC^{2} Conference, Florence, Italy, 1996.

D. McFadden,
"A Method of Simulated Moments for
Estimation of Discrete Choice Models without
Numerical Integration,"
**Econometrica**, Vol. 57, No. 5, pp. 995-1026, 1989.

A. Pakes and D. Pollard,"Simulation and the Asymptotics of Optimization Estimators," **Econometrica**, Vol. 57, No. 5,
pp. 1027-1057, 1989.

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,"
**Econometrica**, Vol. 66, No. 4, pp. 863-896, 1998.

M. Keane,
"A Computationally Practical Simulation Estimator
for Panel Data,"**Econometrica**, Vol. 62,
No. 1, pp. 95-116, 1994.

V. Hajivassiliou and P. Ruud,
"Classical Estimation
Methods for LDV Models using Simulation,"
in
**Handbook of Econometrics**, R. Engle and D. McFadden
(eds.), New York, NY, Elsevier Science, 1994.

S. Chib and E. Greenberg,
"Understanding the
Metropolis-Hastings Algorithm,"
**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

Start problem set 6

Sawtooth Software, "The CBC/HB System for Hierarchical Bayes Estimation,".

J. Huber and K. Train,
"On the Similarity of Classical and Bayesian
Estimates of Individual Mean Partworths,"
**Marketing Letters,**
Vol. 12, No. 3, pp. 257-267, 2001.

J. Albert and S. Chib,
"Bayesian Analysis of Binary and Polychomotomous
Response Data,"
**Journal of the American Statistical Association**, Vol. 88, No.
422, pp.669-679, 1993.

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,"
**Journal of Econometrics**, Vol. 89, No. 1-2, pp. 57-78, 1998/99.

S. Berry,
"Estimating Discrete Choice Models of Product Differentiation,"
**The Rand Journal of Economics,** Vol. 25, No. 2, pp. 242-262, 1994.

S. Berry, A. Pakes, and J. Levinsohn,
"Automobile Prices in Equilibrium,"
**Econometrica,**Vol. 63, No. 4, pp. 841-890, 1995.

S. Berry, A. Pakes, and J. Levinsohn,
"Differentiated Products Demand Systems from a Combination of Micro and Macro Data:
The New Vehicle Market,"
**Journal of Political Economy,** Vol. 112, No. 1, pp. 68-105, 2004.

K. Train and C. Winston,
"Vehicle Choice Behavior and the
Declining Market of US Automakers,"
**Internatinal Economic Review,**
Vol. 48, No. 4, pp. 1469-1496, 2007

A. Petrin and K. Train,
"A Control Function Approach to Endogeneity in Consumer
Choice Models,"
**Journal of Marketing Research,**Vol. 47, No. 1, pp. 3-13, 2010.

S. Park and S. Gupta,
"A Simulated Maximum Likelihood Estimator for the Random Coefficient Logit Model Using Aggregate Data,"
**Journal of Marketing Research,**Vol. 46, No. 4, pp. 531-42, 2009.

K. Train,
,
EM Algorithms for Nonparametric Estimation of Mixing Distributions,"
**Journal of Choice Modeling,** Vol.1, No. 1, pp 40-69.

K. Train, A Recursive Estimator for Random Coefficient Models, working paper.