arXiv 5 Apr 2023 · Econometrics · publishedJournal of Econometrics (2025)
arXiv:2304.02171 · PDF · DOI · OpenAlex · Extracted main text
Many estimators of dynamic discrete choice models with persistent unobserved heterogeneity have desirable statistical properties but are computationally intensive. In this paper we propose a method to quicken estimation for a broad class of dynamic discrete choice problems by exploiting semiparametric index restrictions. Specifically, we propose an estimator for models whose reduced form parameters are invertible functions of one or more linear indices (Ahn, Ichimura, Powell and Ruud 2018), a property we term index invertibility. We establish that index invertibility implies a set of equality constraints on the model parameters. Our proposed estimator uses the equality constraints to decrease the dimension of the optimization problem, thereby generating computational gains. Our main result shows that the proposed estimator is asymptotically equivalent to the unconstrained, computationally heavy estimator. In addition, we provide a series of results on the number of independent index restrictions on the model parameters, providing theoretical guidance on the extent of computational gains. Finally, we demonstrate the advantages of our approach via Monte Carlo simulations.
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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 | Fox, Jeremy T, Kim, Kyoo, Ryan, Stephen P, Bajari, Patrick (2011) A simple estimator for the distribution of random coefficients | 0.903 | 19 | 3 | 74% |
| 2 | Arcidiacono, Peter, Miller, Robert A (2011) Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity | 0.894 | 21 | 5 | 71% |
| 3 | Ahn, Hyungtaik, Ichimura, Hidehiko, Powell, James L, Ruud, Paul A (2018) Simple estimators for invertible index models | 0.874 | 9 | 6 | 67% |
| 4 | Toivanen, Otto, Waterson, Michael (2005) Market structure and entry: where's the beef? | 0.874 | 9 | 2 | 100% |
| 5 | Aguirregabiria, Victor, Magesan, Arvind (2020) Identification and estimation of dynamic games when players' beliefs are not in equilibrium | 0.874 | 5 | 2 | 100% |
| 6 | Robinson, Peter M (1988) The stochastic difference between econometric statistics | 0.693 | 6 | 4 | 33% |
| 7 | Bresnahan, Timothy F, Reiss, Peter C (1991) Entry and competition in concentrated markets | 0.644 | 2 | 2 | 100% |
| 8 | Bugni, Federico A, Bunting, Jackson (2021) On the iterated estimation of dynamic discrete choice games self | 0.644 | 2 | 2 | 100% |
| 9 | Rust, John (1988) Maximum likelihood estimation of discrete control processes | 0.644 | 2 | 2 | 100% |
| 10 | Robert, Christian P, Casella, George (2004) Monte Carlo Statistical Methods | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 32 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Sequential Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity | 0.405 | 1 | 1 |