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| Title: | | Bayesian procedures as a numerical tool for the estimation of dynamic discrete choice models  |
| Authors: | | Haan, Peter Kemptner, Daniel Uhlendorff, Arne |
| Issue Date: | | 2012 |
| Series/Report no.: | | Discussion Paper series, Forschungsinstitut zur Zukunft der Arbeit 6544 |
| Abstract: | | Dynamic discrete choice models usually require a general specification of unobserved heterogeneity. In this paper, we apply Bayesian procedures as a numerical tool for the estimation of a female labor supply model based on a sample size which is typical for common household panels. We provide two important results for the practitioner: First, for a specification with a multivariate normal distribution for the unobserved heterogeneity, the Bayesian MCMC estimator yields almost identical results as a classical Maximum Simulated Likelihood (MSL) estimator. Second, we show that when imposing distributional assumptions which are consistent with economic theory, e.g. log-normally distributed consumption preferences, the Bayesian method performs well and provides reasonable estimates, while the MSL estimator does not converge. These results indicate that Bayesian procedures can be a beneficial tool for the estimation of dynamic discrete choice models. |
| Subjects: | | Bayesian estimation dynamic discrete choice models intertemporal labor supply behavior |
| JEL: | | C11 C25 J22 |
| Persistent Identifier of the first edition: | | urn:nbn:de:101:1-201208175234 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)
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