Bayesian Estimation of Dynamic Discrete Choice Models ∗

@inproceedings{Imai2003BayesianEO,
  title={Bayesian Estimation of Dynamic Discrete Choice Models ∗},
  author={S. Imai},
  year={2003}
}
We propose a new methodology for structural estimation of dynamic discrete choice models. We combine the Dynamic Programming (DP) solution algorithm with the Bayesian Markov Chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the parameters simultaneously. As a result, the computational burden of estimating a dynamic model becomes comparable to that of a static model. Another feature of our algorithm is that even though per solution-estimation iteration… CONTINUE READING
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