Estimation of Nonstationary Markov Chains from Panel Data

With a few exceptions (see Tuma, 1976; Littman and Mode, 1977; Pickens and Soyka, 1980), most attempts to model individual choice behavior with Markov and related models have interpreted "Markov" to mean time-homogeneous Markov. Although considerable analytic simplicity is gained via the use of such models, there is a substantial sacrifice in realism and flexibility. Indeed, much of 'the empirical failure of time-homogeneous chains to provide good descrip-

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