Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/58635 
Year of Publication: 
2012
Series/Report no.: 
IZA Discussion Papers No. 6544
Publisher: 
Institute for the Study of Labor (IZA), Bonn
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: 
Document Type: 
Working Paper

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