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478
Simulated Moments Estimator of Markov Models of Asset Prices
 ECONOMETRICA, JULY
, 1993
"... This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a timehomogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoffs among the regularity condit ..."
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Cited by 325 (10 self)
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This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a timehomogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoffs among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an assetpricing model.
Efficient Simulation from the Multivariate Normal and Studentt Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities
, 1991
"... The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Studentt distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed, and how an estimate of the probabil ..."
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Cited by 211 (10 self)
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The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Studentt distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed, and how an estimate of the probability of the constraint set under the unrestricted distribution may be produced. Keywords: Bayesian inference; Gibbs sampler; Monte Carlo; multiple integration; truncated normal This paper was prepared for a presentation at the meeting Computing Science and Statistics: the TwentyThird Symposium on the Interface, Seattle, April 2224, 1991. Research assistance from Zhenyu Wang and financial support from National Science Foundation Grant SES8908365 are gratefully acknowledged. The software for the examples may be requested by electronic mail, and will be returned by that medium. 2 1. Introduction The generation of random samples from a truncated multivariate normal distribution, that is, a ...
Markov Chain Monte Carlo Estimation of Exponential Random
 Graph Models,” Journal of Social Structure,
, 2002
"... Abstract This paper is about estimating the parameters of the exponential random graph model, also known as the p * model, using frequentist Markov chain Monte Carlo (MCMC) methods. The exponential random graph model is simulated using Gibbs or MetropolisHastings sampling. The estimation procedures ..."
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Cited by 185 (19 self)
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Abstract This paper is about estimating the parameters of the exponential random graph model, also known as the p * model, using frequentist Markov chain Monte Carlo (MCMC) methods. The exponential random graph model is simulated using Gibbs or MetropolisHastings sampling. The estimation procedures considered are based on the RobbinsMonro algorithm for approximating a solution to the likelihood equation. A major problem with exponential random graph models resides in the fact that such models can have, for certain parameter values, bimodal (or multimodal) distributions for the sufficient statistics such as the number of ties. The bimodality of the exponential graph distribution for certain parameter values seems a severe limitation to its practical usefulness. The possibility of bior multimodality is reflected in the possibility that the outcome space is divided into two (or more) regions such that the more usual type of MCMC algorithms, updating only single relations, dyads, or triplets, have extremely long sojourn times within such regions, and a negligible probability to move from one region to another. In such situations, convergence to the target distribution is extremely slow. To be useful, MCMC algorithms must be able to make transitions from a given graph to a very different graph. It is proposed to include transitions to the graph complement as updating steps to improve the speed of convergence to the target distribution. Estimation procedures implementing these ideas work satisfactorily for some data sets and model specifications, but not for all.
Mobility and the return to education: Testing a Roy Model with multiple markets
 ECONOMETRICA
, 2002
"... Selfselected migration presents one potential explanation for why observed returns to a college education in local labor markets vary widely even though U.S. workers are highly mobile. To assess the impact of selfselection on estimated returns, this paper first develops a Roy model of mobility and ..."
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Cited by 184 (0 self)
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Selfselected migration presents one potential explanation for why observed returns to a college education in local labor markets vary widely even though U.S. workers are highly mobile. To assess the impact of selfselection on estimated returns, this paper first develops a Roy model of mobility and earnings where workers choose in which of the 50 states (plus the District of Columbia) to live and work. Available estimation methods are either infeasible for a selection model with so many alternatives or place potentially severe restrictions on earnings and the selection process. This paper develops an alternative econometric methodology which combines Lee's (1983) parametric maximum order statistic approach to reduce the dimensionality of the error terms with more recent work on semiparametric estimation of selection models (e.g., Ahn and Powell, 1993). The resulting semiparametric correction is easy to implement and can be adapted to a variety of other polychotomous choice problems. The empirical work, which uses 1990 U.S. Census data, confirms the role of comparative advantage in mobility decisions. The results suggest that selfselection of higher educated individuals to states with higher returns to education generally leads to upward biases in OLS estimates of the returns to education in statespecific labor markets. While the estimated returns to a college education are significantly biased, correcting for the bias does not narrow the range of returns across states. Consistent with the finding that the corrected return to a college education differs across the U.S., the relative statetostate migration flows of college versus high schooleducated individuals respond strongly to differences in the return to education and amenities across states.
An empirical framework for testing theories about complementarity in organizational design
, 1997
"... This paper studies alternative empirical strategies for estimating the effects of organizational design practices on performance, as well as the factors which determine organizational design, in a crosssection of firms. In particular, we propose an approach for estimating the parameters of an “org ..."
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Cited by 176 (6 self)
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This paper studies alternative empirical strategies for estimating the effects of organizational design practices on performance, as well as the factors which determine organizational design, in a crosssection of firms. In particular, we propose an approach for estimating the parameters of an “organizational design production function.” Further, we identify consistent tests for two classes of hypotheses: first, that some sets of organizational design practices are mutually complementary; and second, that adoption patterns are consistent with static optimization of the organization’s profit. We develop an economic model where multiple organizational design practices are endogenously determined. The model includes exogenous variation in the costs and returns to each of the individual practices, which is the source of the heterogeneity among organizations. In many empirical applications, some of these variables will be unobserved to the econometrician. The model is used to evaluate how different econometric strategies can be interpreted under alternative assumptions about the economic and statistical environment. Of particular interest are a set of results which demonstrate that, under plausible hypotheses about the joint distribution of the unobservables, different reducedform approaches used in the existing literature to test
An exact likelihood analysis of the multinomial probit model
, 1994
"... We develop new methods for conducting a finite sample, likelihoodbased analysis of the multinomial probit model. Using a variant of the Gibbs sampler, an algorithm is developed to draw from the exact posterior of the multinomial probit model with correlated errors. This approach avoids direct evalu ..."
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Cited by 166 (6 self)
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We develop new methods for conducting a finite sample, likelihoodbased analysis of the multinomial probit model. Using a variant of the Gibbs sampler, an algorithm is developed to draw from the exact posterior of the multinomial probit model with correlated errors. This approach avoids direct evaluation of the likelihood and, thus, avoids the problems associated with calculating choice probabilities which affect both the standard likelihood and method of simulated moments approaches. Both simulated and actual consumer panel data are used to fit sixdimensional choice models. We also develop methods for analyzing random coefficient and multiperiod probit models.
Economic Choices
 American Economic Review
, 2001
"... ome detail more recent developments in the economic theory of choice, and modifications to this theory that are being forced by experimental evidence from cognitive psychology. I will close with a survey of statistical methods that have developed as part of the research program on economic choice be ..."
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Cited by 137 (2 self)
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ome detail more recent developments in the economic theory of choice, and modifications to this theory that are being forced by experimental evidence from cognitive psychology. I will close with a survey of statistical methods that have developed as part of the research program on economic choice behavior. Science is a cooperative enterprise, and my work on choice behavior reflects not only my own ideas, but the results of exchange and collaboration with many other scholars. 1 First, of course, is my colaureate James Heckman, who among his many contributions pioneered the important area of dynamic discrete choice analysis. Nine other individuals who played a major role in channeling microeconometrics and choice theory toward their modern forms, and had a particularly important influence on my own work, are Zvi Griliches, L.L. Thurstone, Jacob Marschak, Duncan Luce, Danny Kahneman, Amos Tversky, Moshe BenAkiva, Charles Manski, and Kenneth Train. A gallery of their p
What happens when WalMart comes to town: An empirical analysis of the discount retailing industry
, 2006
"... In the past few decades multistore retailers, especially those with a hundred or more stores, have experienced substantial growth. At the same time, there is widely reported public outcry over the impact of these chain stores on small retailers and local communities. This paper develops an empirica ..."
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Cited by 120 (0 self)
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In the past few decades multistore retailers, especially those with a hundred or more stores, have experienced substantial growth. At the same time, there is widely reported public outcry over the impact of these chain stores on small retailers and local communities. This paper develops an empirical model to assess the impact of chain stores on the profitability and entry/exit decisions of small discount retailers and to quantify the size of the scale economies within a chain. The model has two key features. First, it allows for flexible competition patterns among all players. Second, for chains, it incorporates the scale economies that arise from operating multiple stores in nearby regions. In doing so, the model relaxes the commonly used assumption that entry in different markets is independent. The estimation exploits a unique data set that covers the discount retail industry from 1988 to 1997 and yields interesting results. First, WalMart’s expansion from the late 1980s to the late 1990s explains about fifty to seventy percent of the net change in the number of small discount retailers. Failure to address the endogeneity of the firms ’ entry decisions would result in underestimating this impact by fifty to sixty percent. Second, scale economies were important for both Kmart and WalMart, but the magnitude did not grow proportionately with the chains ’ sizes. Finally, direct government subsidies to either chains or small retailers are unlikely to be cost effective in increasing the number of firms or the level of employment.
Spatial Competition in Retail Markets: Movie Theaters
, 2000
"... Retail markets constitute a large fraction of the economy in all industrialized countries. Yet economists know little about the way dispersed buyers and sellers aect the properties of markets. I attempt to answer several questions here. First, to what degree does geographic dierentiation provide ret ..."
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Cited by 104 (3 self)
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Retail markets constitute a large fraction of the economy in all industrialized countries. Yet economists know little about the way dispersed buyers and sellers aect the properties of markets. I attempt to answer several questions here. First, to what degree does geographic dierentiation provide retail stores with market power? Second, what are the implications of consumer borne travel costs and business stealing, which each result in dierences between private and social objectives, on store location and scale decisions. Using new data from movie theaters I estimate a random utility discrete choice model of retail demand in which products are location specic and consumers have preferences over product characteristics. Using simulation methods I show how to incorporate data from the decennial census into an econometric model of retail demand. Census data provide a detailed description of the geographic distribution of consumers, of their demographic characteristics and, implicitly,...