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ESTIMATION OF (STANDARD) DISCRETE CHOICE MODELS

milogit.src

Procedure for the Maximum Likelihood estimation of a Logit model.

milogit example

Program that runs an example calling the procedure milogit.src.

miprobit.src

Procedure for the Maximum Likelihood estimation of a Probit model.

miprobit example

Program that runs an example calling the procedure miprobit.src.

multilog.src

Procedure for the Maximum Likelihood estimation of a Multinomial Logit.

multilog example

Program that runs an example calling the procedure multilog.src.

clogit.src

Procedure for the Maximum Likelihood estimation of McFadden's Conditional Logit.

clogit example

Program that runs an example calling the procedure clogit.src.

NONPARAMETRIC METHODS

kernel1.src Procedure for the kernel estimation of a univariate density function.

nadaraya_cv.src

Procedure for Nadaraya-Watson estimation of a nonparametric regression function. Cross-Validation for bandwidth choice.

nadaraya_cv e

Program that runs an example calling the procedure nadaraya_cv.src.

isonpreg.src

Procedure that obtains a nonparametric isotonic (monotonic) regression using the max-min estimator first proposed by Brunk (AS, 1958).

mono_si.src

Procedure that estimates a nonparametric regression function using the SI (Smoothing- Isotonising) estimator in Mammen (AS, 1991).

mono_is.src

Procedure that estimates a nonparametric regression function using the IS (Isotonising-Smoothing) estimator in Mammen (AS, 1991).

freqprob.src

Procedure that obtains a frequency estimation of Prob(Y|X) where Y is discrete and X is a vector of discrete variables.

dchokern.src

Procedure for the kernel estimation of Prob(Y|X) where Y is a binary variable and X is a vector of continuous variables.

dchokern.e

Program that runs an example calling the procedure dchokern.src.

ESTIMATION OF SINGLE-AGENT DISCRETE-CHOICE DYNAMIC-PROGRAMMING MODELS

npl_sing.src

Procedure that estimates the structural parameters of a discrete-choice single-agent dynamic programming model using the Nested Pseudo Likelihood (NPL) algorithm in Aguirregabiria and Mira (Econometrica, 2002). It calls the following procedures:

clogit.src

Procedure for the Maximum Likelihood estimation of McFadden's Conditional Logit.

npl_sing.e

Program that estimates the bus replacement model in Rust (Econometrica, 1987). This program calls the procedures and npl_sing.src and multilog.src and the GAUSS dataset:

bus1234.dat

Rust’s bus replacement data set (bus engine groups 1, 2, 3 and 4).

bus1234.dht

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