arXiv 4 Aug 2021 · Econometrics · publishedJournal of Econometrics (2023) · 2 citations (OpenAlex)
arXiv:2108.02182 · PDF · DOI · OpenAlex · Extracted main text
We introduce a sequential estimator for continuous time dynamic discrete choice models (single-agent models and games) by adapting the nested pseudo likelihood (NPL) estimator of Aguirregabiria and Mira (2002, 2007), developed for discrete time models with discrete time data, to the continuous time case with data sampled either discretely (i.e., uniformly-spaced snapshot data) or continuously. We establish conditions for consistency and asymptotic normality of the estimator, a local convergence condition, and, for single agent models, a zero Jacobian property assuring local convergence. We carry out a series of Monte Carlo experiments using an entry-exit game with five heterogeneous firms to confirm the large-sample properties and demonstrate finite-sample bias reduction via iteration. In our simulations we show that the convergence issues documented for the NPL estimator in discrete time models are less likely to affect comparable continuous-time models. We also show that there can be large bias in economically-relevant parameters, such as the competitive effect and entry cost, from estimating a misspecified discrete time model when in fact the data generating process is a continuous time model.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Aguirregabiria, V. and P. Mira (2007) Sequential estimation of dynamic discrete games | 1.000 | 21 | 7 | 100% |
| 2 | Arcidiacono, P., P. Bayer, J. R. Blevins, and P. B. Ellickson (2016) Estimation of dynamic discrete choice models in continuous time with an application to retail competition | 1.000 | 11 | 4 | 100% |
| 3 | Kasahara, H. and K. Shimotsu (2012) Sequential estimation of structural models with a fixed point constraint | 1.000 | 11 | 4 | 100% |
| 4 | Aguirregabiria, V. and P. Mira (2002) Swapping the nested fixed point algorithm: A class of estimators for discrete Markov decision models | 1.000 | 9 | 5 | 100% |
| 5 | Aguirregabiria, V. and M. Marcoux (2021) Imposing equilibrium restrictions in the estimation of dynamic discrete games | 1.000 | 6 | 4 | 100% |
| 6 | Pesendorfer, M. and P. Schmidt-Dengler (2010) Sequential estimation of dynamic discrete games: A comment | 0.737 | 3 | 2 | 100% |
| 7 | Gourieroux, C. and A. Monfort (1995) Statistics and Econometric Models, Volume II | 0.644 | 4 | 1 | 100% |
| 8 | Blevins, J. R (2016) Identification and estimation of continuous time dynamic discrete choice games self | 0.644 | 2 | 2 | 100% |
| 9 | Pesendorfer, M. and P. Schmidt-Dengler (2008) Asymptotic least squares estimators for dynamic games | 0.644 | 2 | 2 | 100% |
| 10 | Jennrich, R. I (1969) Asymptotic properties of non-linear least squares estimators | 0.511 | 2 | 1 | 100% |
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