NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments

Phillipp Eisenhauer, James J. Heckman, Stefano Mosso

NBER Working Paper No. 20622
Issued in October 2014

---- Acknowledgments ----

We thank George Yates for numerous valuable comments, for excellent computational assistance in developing the maximum likelihood estimator used in this paper, and for assisting in the study of accuracy bounds for the computational algorithm. We thank Edward Sung and Jake Torcasso for their outstanding research assistance. We have benefited greatly from comments received from Chris Flinn, Kenneth Judd, Michael Keane, Bernard SalaniƩ, Petra Todd, and Stefan Wild. We thank the editor and anonymous referees for their valuable comments. This research was supported in part by the American Bar Foundation, the Pritzker Children's Initiative, the Buffett Early Childhood Fund, NICHD 5R37HD065072, 5R01HD054702, the Human Capital and Economic Opportunity Global Working Group - an initiative of the Becker Friedman Institute for Research in Economics - funded by the Institute for New Economic Thinking (INET), and an anonymous funder. Philipp Eisenhauer thanks Prof. Wolfgang Franz and the Centre for European Economic Research (ZEW Mannheim) for their support. The views expressed in this paper are those of the authors and not necessarily those of the funders or commentators mentioned here, nor of the National Bureau of Economic Research.

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