DiscreteChoiceCalculations.jl

Tiny Julia package that contains calculations for discrete choice models (used in economics).

Currently implemented:

1. expected continuation value and probabilities for Gumbel shocks

See the package docstring to get started.

API

• ECV_and_probabilities

ECV_and_probabilities(noise, V)

For IID random variables $εᵢ ∼ ex{noise}$, return

1. the expected continuation value (ECV) ECV = E[maxᵢ (Vᵢ + εᵢ)]`, and
2. the probabilities of $πᵢ$ of $X = Vᵢ + εᵢ$

as a NamedTuple{(:ECV,:π)}, where π has the same “shape” as V, and other characteristics are retained to the extent possible (eg SArrays, Tuples etc are mapped to similar types).