CIVIL ENGINEERING 574: TRANSPORTATION
SYSTEMS SEMINAR
DISCRETE CHOICE METHODS WITH SIMULATION
Instructor: Frank S. Koppelman
Following Distance Version
of
ECONOMICS 244: APPLIED ECONOMETRICS
DISCRETE CHOICE METHODS WITH SIMULATION
Instructor: Kenneth Train
Note: Some links are accessible
only from hosts in the Berkeley.EDU domain, or from hosts at
other institutions
that have subscriptions to the relevant e-journals. I will arrange to get copies
of
papers/readings not available on the net either as paper copies of PDF files.
Textbook for the course: Discrete Choice Methods with Simulations (Draft) by Kenneth Train
Class Meetings: Wednesday,
9 a.m. - noon; MEAS A230 unless otherwise noted.
Skipped dates may be used to allow additional discussion time as needed. No
meetings will be scheduled during
Winter Quarter Exam WEek or Spring Break.
If you do not have PostScript and/or PDF viewers, you can download them from
these sites:
Ghostview
PS Viewer
1. Introduction & January 9, 2002 2. Properties of Discrete Choice Model; Logit January 9, 2002 D. McFadden, "Conditional
Logit Analysis of Qualitative Choice Behavior," [PDF] in P. Zarembka
(ed.), Frontiers of Econometrics, New York, NY, Academic Press,
1974
K. Train, "A Validation Test of a Disaggregate Mode Choice Model," Transportation
Research, Vol. 12, pp. 167-174, 1978. 3. Numerical Maximization January 23, 2002 P. Ruud, An Introduction to Classical Econometric Theory, New
York, Oxford University Press, 2000, Chapter 16 and Section 14.7. 4. GEV/Nested Logit January 30, 2002 D. McFadden, "Modeling
the Choice of Residential Location," [PDF] in A. Karlquist, et
al. (eds.), Spatial Interaction Theory and Planning Models,
Amsterdam, North-Holland Publishing Company, 1978.
K. Train, Qualitative Choice Analysis, Cambridge, MA, MIT Press,
1986, Ch. 8 [PDF]
K. Train, D. McFadden, and M. Ben-Akiva, "The Demand for
Local Telephone Service: A Fully Discrete Model of Residential Calling
Patterns and Service Choices," [PDF] RAND Journal of Economics,
Vol. 18, No. 1, pp. 109-123, 1987. C-H Wen and Frank S. Koppelman,
"The Generalized Nested Logit Model", F.S. Koppelman and V. Sethi, "Closed
Form Logit Models", Chapter, F.S. Koppelman and C-H Wen, "Different
Nested Logit Models: Which 5. Probit, part 1 February 6, 2002 J. Hausman and D. Wise, "A
Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing
Interdependence and Heterogenous Preferences," [PDF] Econometrica,
Vol. 48, No. 2, pp. 403-426, 1978. Note: this link is only valid from hosts in the Berkeley.EDU domain.
You cannot access the reprint from any host outside the domain. Use the
Library's proxy server to authenticate you to the California Digital Library
if you are connecting through a private provider and you are a
student, faculty member, or staff member at the University of California,
Berkeley. From the CDL link, go to the subscription to JSTOR.
S. Lerman and C. Manski, "On the Use of Simulated
Frequencies to Approximate Choice Probabilities," [PDF] in C. Manski
and D. McFadden (eds.), Structural Analysis of Discrete Data with Econometric
Applications, Cambridge, MA, MIT Press, 1981.
M. Ben-Akiva and D. Bolduc, "Multinomial
Probit with a Logit Kernel and a General Parametric Specification of the
Covariance Structure," [PDF] working paper, 1996, Department d'Economique,
Universite Laval, Quebec, Canada. 6. Probit, part 2 February 13, 2002 V. Hajivassiliou, D. McFadden, and P. Ruud, "Simulation
of Multivariate Normal Rectangle Probabilities and Their Derivatives,"
[PDF] Journal of Econometrics, Vol. 72, No. 1-2, pp. 85-134, 1996.
7. Mixed Logit February 20, 2002 D. Revelt and K. Train, "Mixed Logit with Repeated Choices," Review
of Economics and Statistics, Vol. LXXX, No. 4, pp. 647-657, 1998.
Preprint version is viewable
here [PDF], but not the published reprint.
D. Brownstone and K. Train, "Forecasting
New Product Penetration with Flexible Substitution Patterns," [PDF]
Journal of Econometrics, Vol. 89, No. 1-2, pp. 109-129, 1998/99.
Note: this link is only valid from hosts in the Berkeley.EDU
domain. You cannot access the reprint from any host outside the domain.
Use the Library's proxy server to authenticate you to the California Digital
Library if you are connecting through a private provider and you
are a student, faculty member, or staff member at the University of California,
Berkeley. From the CDL link, go to the subscription to the Journal of
Econometrics.
D. McFadden and K. Train, "Mixed MNL Models of Discrete Response,"Journal
of Applied Econometrics, Vol. 15, No. 5, pp. 447-470, 2000. Preprint
version is viewable here [PDF], but not the published reprint.
K. Train, "Recreation Demand Models with Taste Variation," Land Economics,
Vol. 74, No. 2, pp. 230-239, 1998. Preprint version is viewable
here [PDF], but not the published reprint.
M. Ben-Akiva, Denis Bolduc, and Joan Walker, "Specification,
Identification, and Estimation of the Logit Kernel (or Continuous Mixed
Logit) Model," [PDF] DRAFT, February 2001. 8. Estimation with Simulation: February 27, 2002 D. McFadden, "Lectures on
Simulation-Assisted Statistical Inference," [PostScript] presented
at EC2 Conference, Florence, Italy, 1996.
D. McFadden, "A
Method of Simulated Moments for Estimation of Discrete Choice Models without
Numerical Integration," [PDF] Econometrica, Vol. 57, No. 5,
pp. 995-1026, 1989. Note: this link is only valid from hosts
in the Berkeley.EDU domain. You cannot access the reprint from any host
outside the domain. Use the Library's proxy server to authenticate you
to the California Digital Library if you are connecting through a private
provider and you are a student, faculty member, or staff member
at the University of California, Berkeley. From the CDL link, go to the
subscription to JSTOR.
A. Pakes and D. Pollard, "Simulation
and the Asymptotics of Optimization Estimators," [PDF] Econometrica,
Vol. 57, No. 5, pp. 1027-1057, 1989. Note: this link is only valid from hosts in the Berkeley.EDU domain.
You cannot access the reprint from any host outside the domain. Use the
Library's proxy server to authenticate you to the California Digital Library
if you are connecting through a private provider and you are a
student, faculty member, or staff member at the University of California,
Berkeley. From the CDL link, go to the subscription to JSTOR.
L.-F. Lee, "On the Efficiency of Methods of Simulated Moments and Simulated
Likelihood Estimation of Discrete Response Models," Econometric Theory,
Vol. 8, No. 4, pp. 518-552, 1992.
V. Hajivassiliou and D. McFadden, "The Method of
Simulated Scores with Application to Models of External Debt Crises,"
[PDF] Econometrica, Vol. 66, No. 4, pp. 863-896, 1998.
M. Keane, "A
Computationally Practical Simulation Estimator for Panel Data," [PDF]
Econometrica, Vol. 62, No. 1, pp. 95-116, 1994. Note:
this link is only valid from hosts in the Berkeley.EDU domain. You cannot
access the reprint from any host outside the domain. Use the Library's
proxy server to authenticate you to the California Digital Library if
you are connecting through a private provider and you are a student,
faculty member, or staff member at the University of California, Berkeley.
From the CDL link, go to the subscription to JSTOR.
V. Hajivassiliou and P. Ruud, "Classical Estimation
Meethods for LDV Models using Simulation," [PDF] in Handbook of
Econometrics, R. Engle and D. McFadden (eds.), New York, NY, Elsevier
Science, 1994. 9. Variance reduction: antithetics and Halton draws March 6, 2002 C. Bhat, "Quasi-Random
Maxium Simulated Likelihood Estimation of the Mixed Multinomial Logit
Model," [PDF] working paper, Department of Civil Engineering, University
of Texas, Austin, 1999, forthcoming in Transportation Research
K. Train, "Halton
Sequences for Mixed Logit," [PDF] working paper no. E00-278, Department
of Economics, University of California, Berkeley, 2000.
C. Bhat, "Simulation
Estimation of Discrete Choice Models Using Randomized and Scrambled Halton
Sequences," [PDF] working paper, Department of Civil Engineering,
University of Texas, Austin, 2001. 10. Conditional Distributions of Individual-level Parameters
March 13, 2002 D. Revelt and K. Train, "Customer-Specific
Taste Parameters and Mixed Logit," [PDF] working paper no. E00-274,
Department of Economics University of California, Berkeley, 2000. 11. Hierarchical Bayes, part 1 S. Chib and E. Greenberg, "Understanding
the Metropolis-Hastings Algorithm,"[PDF] The American Statistician,
Vol. 49, pp. 327-335, 1995. Reproduced with permission from
The American Statistician. Copyright 1995 by the American Statistical
Association. All rights reserved
Sawtooth Software, "The CBC/HB Module for Hierarchical Bayes," Sawtooth homepage.
J. Huber and K. Train, "On
the Similarity of Classical and Bayesian Estimates of Individual Mean
Partworths," [PDF] working paper no. E00-289, Department of Economics,
University of California, Berkeley, 2000. Subsequently published in Marketing
Letters, Vol. 12, No. 3, pp. 257-267, 2001. 12. Hierarchical Bayes, part 2 G. Allenby and P. Rossi, "Marketing
Models of Consumer Heterogeneity," [PDF] Journal of Econometrics,
Vol. 89, No. 1-2, pp. 57-78, 1998/99. Note: this link is only valid from hosts in the Berkeley.EDU domain.
You cannot access the reprint from any host outside the domain. Use the
Library's proxy server to authenticate you to the California Digital Library
if you are connecting through a private provider and you are a
student, faculty member, or staff member at the University of California,
Berkeley. From the CDL link, go to the subscription to Elsevier Journals.
13. Other models: variations on our themes
Topic
Assigned Readings
Drawing from Densities Textbook, Ch.1 and
Sections 9.1-9.2
Do problem set 1 Textbook,
Chs. 2 and 3
Do problem set 2 Textbook,
Ch. 8
Do problem set 3 Textbook,
Ch. 4
Transportation Research-B, V 35, N 7, 2001 pp 627-641.
Handbook of Transport Modeling, D.A. Hensher and K.J. Button (eds.),
Pergamon Press, Oxford, December 2000.
Are You Using?", Transportation Research Record, V. 1645, 1999.
Textbook,
Ch. 5
Do problem set 4 A. Boersch-Supan and V. Hajivassiliou, "Smooth Unbiased Multivariate
Probability Simulators for Maximum Likelihood Estimation of Limited Dependent
Variables," Journal of Econometrics, Vol. 58, pp. 347-368, 1993.
Do problem set 5 Textbook,
Ch. 6
MSL, MSM, MSSTextbook,
Ch. 10
Textbook,
Section 9.3
Textbook,
Ch. 11
Do problem set 6 Textbook,
Ch 12
R. McCulloch and P. Rossi, "An Exact Likelihood Analysis of the
Multinomial Probit Model," Journal of Econometrics, Vol. 64, No.
1-2, pp. 207-240, 1994.
Textbook,
Ch. 7