The IJC method and Bayesian MCMC
I solve the Loyalty Program model using the IJC method in Julia. The documentation briefly describes the model, method, code, and estimation results. This project features:
- Bayesian Markov Chain Monte Carlo (MCMC), which is an efficient method to estimate structural models with many parameters such as those with heterogeneous individuals.
- The “IJC method” described in Imai, Jain and Ching 2009 which is a computationally efficient way to approximate the value function in dynamic models which are being estimated with Bayesian MCMC.
- The “Loyalty Program” which is a basic discrete dynamic choice model where consumers decide between products in the current period, and can earn “Rewards” after having chose a product a certain number of times (for example, a “buy 5 get one free”).
- Clean and optimized Julia code using best practices of the language, to the best of my knowledge.