Stick with your firstchoice and you have a 1 in 3 chance of winning the car.
Change doors and there's now a 2/3 chance you will get the car.
So it's best to switch doors.
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Perhaps you mean "Monty Hall" problem. If so, see the related question: What is the Monty Hall Paradox?
The Monty Hall Problem is an example that shows people are not always good at correctly estimating probabilities. To be fair, the problem is sometimes describedpoorly. The problem is obviously related to the theory of probability, in mathematics.
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No, there's no reason to do so, switching in this case will win half of the time, exactly like sticking to the initial choice. This Monty Hall problem variant is called the "Monty Fall" or "Ignorant Monty" variant. The possible scenarios which made switching win more often in the original Monty Hall problem, correspond in this variant to the scenarios where the randomly opened door revealed the car (and as such are not considered here).
This is the well known Monty Hall problem, named after the presenter of a TV game show which presented players with this dilemma. For a good explanation of the background and winning strategy, see the Wikipedia: Monty Hall problem at: http://en.wikipedia.org/wiki/Monty_Hall_problem