Yu Hao, Hiroyuki Kasahara
arXiv 21 May 2024 · Econometrics
arXiv:2405.12467 · PDF · DOI · OpenAlex · Extracted main text
This paper extends the work of Arcidiacono and Miller (2011, 2019) by introducing a novel characterization of finite dependence within dynamic discrete choice models, demonstrating that numerous models display 2-period finite dependence. We recast finite dependence as a problem of sequentially searching for weights and introduce a computationally efficient method for determining these weights by utilizing the Kronecker product structure embedded in state transitions. With the estimated weights, we develop a computationally attractive Conditional Choice Probability estimator with 2-period finite dependence. The computational efficacy of our proposed estimator is demonstrated through 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 | Arcidiacono, Peter and Robert A Miller (2011) Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity | 1.000 | 13 | 3 | 100% |
| 2 | Arcidiacono, Peter and Robert A Miller (2019) Nonstationary dynamic models with finite dependence | 1.000 | 9 | 5 | 100% |
| 3 | Hotz, Joseph and Robert Miller (1993) Conditional Choice Probabilities and the Estimation of Dynamic Models | 1.000 | 5 | 5 | 100% |
| 4 | Aguirregabiria, Victor and Pedro Mira (2007) Sequential estimation of dynamic discrete games | 1.000 | 5 | 4 | 100% |
| 5 | Aguirregabiria, Victor and Arvind Magesan (2016) Solution and Estimation of Dynamic Discrete Choice Structural Models Using Euler Equations | 0.737 | 3 | 2 | 100% |
| 6 | Rust, John (1987) Optimal Replacement of GMC Bus Engines : An Empirical Model of Harold Zurcher | 0.644 | 2 | 2 | 100% |
| 7 | Rust, John (1994) Structural estimation of Markov Decision Processes | 0.644 | 2 | 2 | 100% |
| 8 | Chiong, Khai Xiang, Alfred Galichon, and Matt Shum (2016) Duality in dynamic discrete-choice models | 0.644 | 2 | 2 | 100% |
| Aguirregabiria2013 | unmatched citation key Aguirregabiria2013 | 0.511 | 2 | 1 | 100% |
| 10 | Fang, Hanming and Yang Wang (2015) Estimating dynamic discrete choice models with hyperbolic discounting, with an application to mammography decisions | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 51 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.