Join Kenichi Shimizu for this event which is part of the Econometrics Research Seminar Series, Autumn Term 2022
16:00 - 17:30
Lectures, talks and seminars
Econometrics Research Seminar Series
Economics, Department of
Join Kenichi Shimizu as they present their research on Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models
Dr Kenichi Shimizu from the Adam Smith Business School, University of Glasgow will present their research on Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models
We propose a tractable semiparametric estimation method for dynamic discrete choice models. The distribution of additive utility shocks is modeled by location-scale mixtures of extreme value distributions with varying numbers of mixture components. Our approach exploits the analytical tractability of extreme value distributions and the flexibility of the location-scale mixtures. We implement the Bayesian approach to inference using Hamiltonian Monte Carlo and an approximately optimal reversible jump algorithm. For binary dynamic choice model, our approach delivers estimation results that are consistent with the previous literature. We also apply the proposed method to multinomial choice models, for which previous literature does not provide tractable estimation methods in general settings without distributional assumptions on the utility shocks. In our simulation experiments, we show that the standard dynamic logit model can deliver misleading results, especially about counterfactuals, when the shocks are not extreme value distributed. Our semiparametric approach delivers reliable inference in these settings. We develop theoretical results on approximations by location-scale mixtures in an appropriate distance and posterior concentration of the set identified utility parameters and the distribution of shocks in the model.
This seminar will be held in the Economics Common Room at 4pm on Wednesday 26th October. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.
This event is part of the Econometrics Research Seminar Series.