Technion, IEM faculty - Statistics Seminar Speaker: Dotan Tzor, Technion Title: Statistical methods of estimation and prediction in repeated choice games Date: 25/03/2012 Time: 14:30 Place: Bloomfield-527 Abstract: <http://ie.technion.ac.il/seminar_files/1331635186_Tzor.pdf> Or read it here: Comparisons of learning models in repeated choice games that focus on the effect of experience on decisions is a major research interest of experimental and behavioral economics. Current studies reveal that models which assume reliance on small sets of experiences appear to fit the summarized data very well (Erev, Ert and Roth, 2010a, 2010b; Nevo and Erev, 2012). However, the parameters of those models were not estimated by traditional econometric methods, but by wild grid-search simulation techniques, which did not use all the available information. The main goal of the current research is to try to improve the estimation procedure of those models by using the maximum likelihood (ML) approach instead of a grid-search simulation based approach. The models consider in the work have features that are not as of a standard parametric representation, therefore places several challenges. We formulate the likelihood function to several modifications of those small decisions making models. We present extensive simulation study to assess the finite sample properties of the proposed methodology, and show that our proposed MLE performs very well in terms of bias, variance and computation time, per se, and in compare to the wild grid search technique, as long as the model is well-specified. We also consider possible miss-specifications in the model, and analyze, based on simulations, the robustness of each of the two estimation methods to a certain miss-specification in terms of estimation and prediction accuracy. As a demonstration, we analyze a real data set, taken from a choice prediction competition (Erev et al., 2010a). --------------------------------------------------------- Technion Math. Net (TECHMATH) Editor: Michael Cwikel <techm@math.technion.ac.il> Announcement from: <ynardi@ie.technion.ac.il>