arXiv 23 Apr 2025 · Econometrics · 6 citations (OpenAlex)
arXiv:2504.16630 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a general framework for dynamic models in which individuals simultaneously make both discrete and continuous choices. The framework incorporates a wide range of unobserved heterogeneity. I show that such models are nonparametrically identified. Based on constructive identification arguments, I build a novel two-step estimation method in the lineage of Hotz and Miller (1993) and Arcidiacono and Miller (2011) but extended to simultaneous discrete-continuous choice. In the first step, I recover the (type-dependent) optimal choices with an expectation-maximization algorithm and instrumental variable quantile regression. In the second step, I estimate the primitives of the model taking the estimated optimal choices as given. The method is especially attractive for complex dynamic models because it significantly reduces the computational burden associated with their estimation compared to alternative full solution methods.
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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 | Hotz, V. J. and R. A. Miller (1993) Conditional Choice Probabilities and the Estimation of Dynamic Models | 1.000 | 21 | 5 | 100% |
| 2 | Arcidiacono, P. and R. A. Miller (2011) Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity | 1.000 | 16 | 7 | 100% |
| 3 | Iskhakov, F., T. H. Jørgensen, J. Rust, and B. Schjerning (2017) The endogenous grid method for discrete-continuous dynamic choice models with (or without) taste shocks | 1.000 | 12 | 4 | 100% |
| 4 | Blundell, R., T. Magnac, and C. Meghir (1997) Savings and Labor-Market Transitions | 1.000 | 9 | 3 | 100% |
| 5 | Blundell, R., M. Costa Dias, C. Meghir, and J. Shaw (2016) Female Labor Supply, Human Capital, and Welfare Reform | 1.000 | 5 | 3 | 100% |
| 6 | Chernozhukov, V. and C. Hansen (2005) An IV Model of Quantile Treatment Effects | 0.977 | 15 | 4 | 93% |
| 7 | Chernozhukov, V. and C. Hansen (2006) Instrumental quantile regression inference for structural and treatment effect models | 0.928 | 4 | 4 | 100% |
| 8 | Carroll, C. D (2006) The method of endogenous gridpoints for solving dynamic stochastic optimization problems | 0.928 | 4 | 3 | 100% |
| 9 | Rust, J (1987) Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher | 0.928 | 4 | 3 | 100% |
| 10 | Escanciano, J. C., S. Hoderlein, A. Lewbel, O. Linton, and S. Srisuma (2021) Nonparametric Euler Equation Identification and Estimation | 0.874 | 6 | 2 | 100% |
Showing the top 10 of 63 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 1420 Identification with possibly invalid IVs | 0.511 | 2 | 1 |
| 2 | Estimating Individual Responses when Tomorrow Matters | 0.405 | 1 | 1 |