DDCModelsExample.jl

This package implements Julia code for the basic model in "Dynamic Discrete Choice Models: Methods, Matlab Code, and Exercises" of Abbring and Klein (2020). Detailed explanations of the model and the Matlab code are available here: https://jabbring.github.io/dynamic-discrete-choice/dynamicDiscreteChoice.m.html

The goal is to set up the basic model and offer a package structure that easily extends to more complex DDC problems. Most functions are explained through docstrings (e.g. type ?estimate_model to see the documentation). Steps in individual functions are explained in the respective source files.

The package implements the type DDCbasic; a structure for the basic model containing the parameters and simulation/estimation options. To check which functions and types the package exports, check the file src/DDCModelsExample.jl.

Various functions implement multi-threading for faster execution times. To use e.g. 8 threads, start Julia with julia --threads 8. In VScode, the number of threads can be set in the Julia extension settings. Note that for a running Julia instance, the number of threads cannot be changed.

To see how to use the package, check the file test/runtests.jl, which sets up unit tests based on Julia's Test framework. Specifically, it:

1. constructs a DDCbasic model
2. simulates data from this model
3. estimates the transition matrix
4. estimates parameters
5. calculates standard errors of the parameter estimates.

Installing the package

Note, the package was tested and should be run with Julia version 1.6. or newer.

1. Download and extract the package from Github (e.g. through git clone)
2. In Julia, navigate to the package folder (or open the folder in VSCode)
3. Activate environment: using Pkg; Pkg.activate(".")
4. Install dependencies: Pkg.instantiate()
5. Test to verify it runs correctly: Pkg.test("DDCModelsExample")
6. Load the package with using DDCModelsExample

Files in src:

• types.jl: Contains all type definitions
• support.jl: Defines support functions that are useful for (potentially) various differing models
• models/DDCbasic.jl: Functions specific to the DDCbasic model (e.g. flowpayoffs, loglikelihood etc.)
• test/runtests.jl: Implement unit tests
• test/speedtest.jl: Setup for running speed tests