Econometric Analysis of Sequential Discrete Choice Models

Duke University Dept. of Economics Working Paper No. 95-55

22 Pages Posted: 28 Jan 1997

See all articles by Mark Yuying An

Mark Yuying An

Federal National Mortgage Association (Fannie Mae); Duke University

Date Written: Undated

Abstract

This paper specifies an estimable dynamic model of sequential discrete choices in a controlled jump-process framework. We study sufficient conditions under which the agent's optimal policy is stationary. We show that the observable event histories at the micro-level are sample paths of a semi-Markovian process. We provide, for the first time, sufficient and necessary conditions under which the destination specific hazard functions belong to the proportional hazard family. Finally, we propose a computing algorithm for statistical inference of the structural parameters from longitudinal survey data.

JEL Classification: C51, C81, J64

Suggested Citation

An, Mark Yuying, Econometric Analysis of Sequential Discrete Choice Models (Undated). Duke University Dept. of Economics Working Paper No. 95-55, Available at SSRN: https://ssrn.com/abstract=1502 or http://dx.doi.org/10.2139/ssrn.1502

Mark Yuying An (Contact Author)

Federal National Mortgage Association (Fannie Mae) ( email )

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