Simulation estimation for panel data models with limited dependent variables

By Michael P. Keane. 1993

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Citations in the corpus

Panel Data Discrete Choice Models of Consumer Demand (2013, methodology): “In fact, Keane (1993, 1994) interpreted the GHK algorithm as an importance sampling algorithm where stochastic terms are drawn in a constrained way so that they must be consistent with observed choice histories (see equation (7)).”
Monte Carlo Test Methods in Econometrics (2007, methodology): “…(1997), and Horowitz (1997)] and techniques where estimators and forecasts are obtained from criteria evaluated by simulation [see Mariano and Brown (1993), Hajivassiliou (1993), Keane (1993), Gouriéroux, Monfort, and Renault (1993), Gouriéroux and Monfort (1996) and Gallant and Tauchen (1996)].”
The Value of Purchase History Data in Target Marketing (1996, background): “…probit model rather than a standard classical econometric approach (c.f. Borsch-Supan and Hajivassiliou (1992), Hajivassiliou (1993), or Keane (1994) ) for two reasons: (1) customized marketing actions regarding individual households require inferences about the household parameters…”
Understanding Reference-Price Shoppers: A Within- and Cross-Category Analysis (2001, methodology): “Instead, we use simulated maximum likelihood techniques employing Monte Carlo methods (Keane 1993; McFadden 1989; Pakes 1987).”
Panel Data Models: Some Recent Developments (2001, unknown): “…Kao ( 1999), Phillips and Moon ( 1999)l, simulation-based random effects approaches to the nonlinear models lHajivassiliou and McFadden ( 1990), Keane ( 1993, 1994), Allenby and Rossi ( 1999), and references thereinl, classical and Bayesian flexible estimators of error component distributions…”
The Relationship between Health and Labour Force Participation: Evidence from a Panel Data Simultaneous Equation Model (2007, background): “9 For a detailed discussion of the GHK simulator and its properties, see Hajivassiliou (1993), BörschSupan and Hajivassiliou (1993), Keane (1993, 1994) or Stern (1997).”
Invited Paper - Learning Models: An Assessment of Progress, Challenges, and New Developments (2011, unknown): “15 To deal with this problem, Erdem-Keane used simulated maximum likelihood (see, e.g., Keane (1993, 1994)).”