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12
Discrete Choice Methods with Simulation
, 2002
"... This book describes the new generation of discrete choice meth-ods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logi ..."
Abstract
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Cited by 1326 (20 self)
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moments, and the method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as antithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis– Hastings algorithm and its variant Gibbs
Halton Sequences for Mixed Logit
, 1999
"... : The simulation variance in the estimation of mixed logit parameters is found, in our application, to be lower with 100 Halton draws than with 1000 random draws. This finding confirms Bhat's (1999a) results and implies significant reduction in run times for mixed logit estimation. Further inve ..."
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Cited by 36 (2 self)
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: The simulation variance in the estimation of mixed logit parameters is found, in our application, to be lower with 100 Halton draws than with 1000 random draws. This finding confirms Bhat's (1999a) results and implies significant reduction in run times for mixed logit estimation. Further
Quasi-random Simulation of Discrete Choice Models
- Transportation Research Part B
"... We describe the properties of (t,m, s)-nets and Halton draws. Four types of (t,m, s)-nets, two types of Halton draws, and independent draws are compared in an application of maximum simulated likelihood estimation of a mixed logit model. All of the quasi-random procedures are found to perform far be ..."
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Cited by 25 (9 self)
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We describe the properties of (t,m, s)-nets and Halton draws. Four types of (t,m, s)-nets, two types of Halton draws, and independent draws are compared in an application of maximum simulated likelihood estimation of a mixed logit model. All of the quasi-random procedures are found to perform far
On the performance of shuffled Halton sequences in the estimation of discrete choice models
, 2003
"... The area of travel demand analysis has in recent years been greatly enriched by the development of new model forms that can accommodate complex patterns of substitution and taste variation. However, this added flexibility comes at a cost of greater complexity in estimation, to the degree that these ..."
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Cited by 17 (11 self)
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pseudo-random number draws. A popular type of quasi-random sequence in this context is the Halton sequence, in its different forms. In this paper, we compare the performance of standard, scrambled and shuffled Halton sequences in the estimation of various Mixed Logit models. The analysis shows that
CALCULATION OF MULTIVARIATE NORMAL PROBABILITIES BY SIMULATION, WITH APPLICATIONS TO MAXIMUM SIMULATED LIKELIHOOD ESTIMATION
"... This research was supported by core funding to ISER from the UK Economic and Social Research Council and the University of Essex. The first draft of this article was written when Jenkins visited the SOEP Group at DIW Berlin. Mark Stewart provided many helpful comments and suggestions. The code for H ..."
Abstract
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Cited by 33 (0 self)
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for Halton draws is a generalization of some do file code by Arne Uhlendorff (DIW Berlin) which, in turn, uses a program posted on Statalist by Nick Cox (Durham University) in August 2004: see
Drawing a random number
, 2006
"... Abstract: Random numbers are used for a great variety of applications in almost any field of computer and economic sciences today. Examples ranges from stock market forecasting in economics, through stochastic traffic modelling in operations research to photon and ray tracing in graphics. The constr ..."
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to transform distributions into others with most of the required characteristics. In essence, a uniform sequence which is transformed into a new sequence with the required distribution. The subject of this article is to consider the well known highly uniform Halton sequence and modifications to it. The intent
and
"... In the context of panel ordered-response structures, the current paper compares the performance of the maximum-simulated likelihood (MSL) inference approach and the composite marginal likelihood (CML) inference approach. The panel structures considered include the pure random coefficients (RC) model ..."
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of the MSL approach (with 150 scrambled and randomized Halton draws) and the simulation-free CML approach are of about the same order in all panel structures in terms of the absolute percentage bias (APB) of the parameters and econometric efficiency. However, the simulation-free CML approach exhibits
Obtaining Reliable Likelihood Ratio Tests from Simulated Likelihood Functions
, 2013
"... Mixed models: Models allowing for continuous heterogeneity by assuming that value of one or more parameters follow a specified distribution have become increasingly popular. This is known as ‘mixing ’ parameters, and it is standard practice by researchers- and the default option in many statistical ..."
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programs- to base test statistics for mixed models on simulations using asymmetric draws (e.g. Halton draws). Problem 1: Inconsistent LR tests due to asymmetric draws: This paper shows that when the estimated likelihood functions depend on standard deviations of mixed parameters this practice is very
Hess, Train and Polak 1 On the use of a Modified Latin Hypercube Sampling (MLHS) Method in the Estimation of a Mixed Logit model for vehicle choice
"... Quasi-random number sequences have been used extensively for many years in the simulation of integrals that do not have a closed-form expression, such as Mixed Logit and Multinomial Probit choice probabilities. Halton sequences are one example of such quasi-random number sequences, and various types ..."
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Quasi-random number sequences have been used extensively for many years in the simulation of integrals that do not have a closed-form expression, such as Mixed Logit and Multinomial Probit choice probabilities. Halton sequences are one example of such quasi-random number sequences, and various
Approximation of Bayesian Efficiency in Experimental Choice Designs
, 2006
"... This paper compares different types of simulated draws over a range of number of draws in generating Bayesian efficient designs for stated choice studies. The paper examines how closely pseudo Monte Carlo, quasi Monte Carlo and polynomial cubature methods are able to replicate the true levels of Ba ..."
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Cited by 10 (1 self)
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of Bayesian efficiency for SC designs of various dimensions. The authors conclude that the predominantly employed method of using pseudo Monte Carlo draws is unlikely to result in leading to truly Bayesian efficient SC designs. The quasi Monte Carlo methods analyzed here (Halton, Sobol, and Modified Latin
Results 1 - 10
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12
