arXiv 29 Aug 2024 · Econometrics
arXiv:2408.16330 · PDF · DOI · OpenAlex · Extracted main text
In dynamic discrete choice models, some parameters, such as the discount factor, are being fixed instead of being estimated. This paper proposes two sensitivity analysis procedures for dynamic discrete choice models with respect to the fixed parameters. First, I develop a local sensitivity measure that estimates the change in the target parameter for a unit change in the fixed parameter. This measure is fast to compute as it does not require model re-estimation. Second, I propose a global sensitivity analysis procedure that uses model primitives to study the relationship between target parameters and fixed parameters. I show how to apply the sensitivity analysis procedures of this paper through two empirical applications.
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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 | Rust, J (1987) Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher | 1.000 | 14 | 5 | 100% |
| 2 | Chen, L. and E. Choo (2023) Identification and Parametric Estimation of Empirical Dynamic Marriage Matching Models | 0.971 | 12 | 4 | 92% |
| 3 | Igami, M (2017) Estimating the Innovator’s Dilemma: Structural Analysis of Creative Destruction in the Hard Disk Drive Industry, 1981–1998 | 0.928 | 4 | 3 | 100% |
| 4 | Jørgensen, T. H (2023) Sensitivity to Calibrated Parameters | 0.811 | 4 | 2 | 100% |
| 5 | Hotz, V. J. and R. A. Miller (1993) Conditional Choice Probabilities and the Estimation of Dynamic Models | 0.737 | 3 | 2 | 100% |
| 6 | Ossa, R (2014) Trade Wars and Trade Talks with Data | 0.737 | 3 | 2 | 100% |
| 7 | Aguirregabiria, V., A. Collard-Wexler, and S. P. Ryan (2021) Chapter 4 - Dynamic games in empirical industrial organization, in | 0.644 | 2 | 2 | 100% |
| 8 | Aguirregabiria, V. and P. Mira (2002) Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models | 0.644 | 2 | 2 | 100% |
| 9 | Arcidiacono, P. and R. A. Miller (2011) Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity | 0.644 | 2 | 2 | 100% |
| 10 | Horowitz, J. and C. Manski (1995) Identification and Robustness with Contaminated and Corrupted Data | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 45 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models | 0.405 | 1 | 1 |
| 2 | Choosing What to Calibrate and What to Estimate in Structural Models | 0.405 | 1 | 1 |