arXiv 9 Apr 2026 · Econometrics
arXiv:2604.09736 · PDF · DOI · OpenAlex · Extracted main text
We develop the first general-purpose estimator for infinite-horizon dynamic discrete choice models whose estimation problem, after pre-computation, is unencumbered by large systems of linear equations -- either imposed as constraints, or embedded in the objective function. Our unnested fixed point (UFXP) and optimal unnested fixed point (OUFXP) estimators exploit a dual representation of Bellman's equation to separate the utility parameters from the dynamic programming fixed point. We establish the consistency and asymptotic normality of UFXP and OUFXP, as well as the efficiency of the latter. Our estimators enable researchers to model utility functions non-parametrically via flexible neural-network approximations.
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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. Joseph, Robert A. Miller (1993) Conditional Choice Probabilities and the Estimation of Dynamic Models | 0.811 | 4 | 2 | 100% |
| 2 | Hotz, V. Joseph, Robert A. Miller, Seth Sanders, Jeffrey Smith (1994) A Simulation Estimator for Dynamic Models of Discrete Choice | 0.737 | 3 | 2 | 100% |
| 3 | Rust, John (2000) Nested fixed point algorithm documentation manual, unpublished manuscript | 0.737 | 3 | 2 | 100% |
| 4 | Bray, Robert L (2019) Strong convergence and dynamic economic models self | 0.644 | 3 | 2 | 67% |
| 5 | Aguirregabiria, Victor, Pedro Mira (2010) Dynamic discrete choice structural models: A survey | 0.644 | 2 | 2 | 100% |
| 6 | Dearing, Adam (2019) Pseudo-value functions and closed-form ccp estimation of dynamic discrete choice models, working paper | 0.644 | 2 | 2 | 100% |
| 7 | Rust, John (1987) Optimal replacement of gmc bus engines: An empirical model of harold zurcher | 0.644 | 2 | 2 | 100% |
| 8 | Arcidiacono, Peter, Robert A. Miller (2011) Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity | 0.511 | 2 | 2 | 50% |
| 9 | Aguirregabiria, Victor, Pedro Mira (2002) Swapping the nested fixed point algorithm: A class of estimators for discrete markov decision models | 0.511 | 2 | 1 | 100% |
| 10 | Aguirregabiria, Victor, Pedro Mira (2007) Sequential estimation of dynamic discrete games | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 42 scored citations.