Obtaining analytic derivatives for a popular discrete-choice dynamic programming model

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 3
Pages: 168-171

Authors (2)

Eberwein, Curtis (not in RePEc) Ham, John C. (New York University Abu Dhabi)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We show how to recursively calculate analytic first and second derivatives of the likelihood for a popular discrete-choice, dynamic programming model. These allow for decreased computing time, and are useful for de-bugging complicated program code and accurately estimating standard errors.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:3:p:168-171
Journal Field
General
Author Count
2
Added to Database
2026-01-25