The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpolation
Monte Carlo Evidence
Bibliographic Data
| ID | 19319608 |
|---|---|
| Authors | Michael P Keane (0000-0002-3918-1377), Kenneth I Wolpin |
| Year | 1994 |
| Volume | 76 |
| Issue | 4 |
| Pages | 648 |
| Publication date | 1994-11-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Review of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Publisher | JSTOR (PUBLISHER) |
| DOI | 10.2307/2109768 |
| OpenAlex | W2060268871 |
| Language | EN |
| Citations received | 23 |
| References cited | 2 |
Over the past decade, a substantial literature on methods for the estimation of discrete choice dynamic programming (DDP) models of behavior has developed. However, the implementation of these methods can impose major computational burdens because solving for agents' decision rules often involves high dimensional integrations that must be performed at each point in the state space. In this paper we develop an approximate solution method that consists of: (1) using Monte Carlo integration to stimulate the required multiple integrals at a subset of the state points, and (2) interpolating the non-simulated values using a regression function. The overall performance of this approximation method appears to be excellent. Copyright 1994 by MIT Press
Computer graphics (images) · Econometrics · Economics · Estimation · Interpolation (computer graphics) · Markov chain Monte Carlo · Mathematical optimization · Monte Carlo integration · Monte Carlo method · Monte Carlo molecular modeling · Statistics · Applied Mathematics · Computer Science · Consumer Market Behavior and Pricing · Economic and Environmental Valuation · Economics of Agriculture and Food Markets · Mathematics
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| Unique citing works | 23 |
|---|---|
| Citations per year | 0.79 |
| Citation span | 1997 - 2023 (27) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 20 |