DISCRETE CHOICE MODELS AND STIMULATION ESTIMATIONS
CEU, Economics Department





Lecturer:  Prof. Robert M. Sauer
Course: 2 credits

Spring 2007
e-mail: robertmsauer@gmail.com
 
 

The topics covered in the course and the readings are enumerated below. The main textbook for the course is “Discrete
Choice Methods with Simulation” by Kenneth E. Train, Cambridge: Cambridge University Press, 2003 (Chapters 1,2,3,5
and Sections 9.1-9.2). Other useful textbook references are “Limited-Dependent and Qualitative Variables in Econometrics”
by G.S. Maddala, Cambridge: Cambridge University Press, 1983 (Chapters 2-4), “Econometric Analysis” by William H. Greene,
Fourth Edition, New Jersey: Prentice Hall, 2000 (Chapter 19), and “Econometric Analysis of Cross Section and Panel Data”
by Jeffrey M. Wooldridge, Cambridge: MIT Press, 2002 (Chapter 15). There is also reading material from current working
papers and professional journal articles. Coverage of empirical applications will be interspersed with discussion of econometric
theory. The chapters from the Train book and the starred papers below are required reading. The course requirements are lecture
attendance and participation, and a final exam.
 

I. Econometric Theory
 

1. Introduction and Drawing from Densities (Train, Ch. 1 and Sections 9.1-9.2)
2. Properties of Discrete Choice Models (Train, Ch. 2)
3. Logit  (Train, Ch. 3)
4. Probit (Train, Ch. 5)


II. Empirical Applications
 

Static Discrete Choice Models and Classification Error
1. Poterba, J.M. and L.H. Summers (1995), “Unemployment Benefits and Labor Market Transitions: A Multinomial
Logit Model with Errors in Classification,” Review of Economics and Statistics, 77, 207-216.*

2. Hausman, J.A. J. Abrevaya and F.M. Scott-Morton (1998), “Misclassification of the Dependent Variable in a
Discrete-Response Setting,” Journal of Econometrics, 87, 239-269.*


          Dynamic Discrete Choice Models, Missing Data and Classification Error
 

3. Heckman, J. (1981), “Statistical Models for Discrete Panel Data,” in C. Manski and D. McFadden, eds.,
The Structural Analysis of Discrete Data (MIT Press, Cambridge, MA).

4. Heckman J. (1981), “The Incidental Parameters Problem and the Problem of Initial Conditions in Estimating
a Discrete Time-Discrete Data Stochastic Process,” in C. Manski and D. McFadden, eds., The Structural Analysis
of Discrete Data (MIT Press, Cambridge, MA).

5. Hyslop, D.R. (1999), “State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force
Participation of Married Women,” Econometrica, 67, 1255-1294.*

6. Keane, M.P. and R.M. Sauer (2006), “Classification Error in Dynamic Discrete Choice Models: Implications for
Female Labor Supply Behavior,” unpublished manuscript.*