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Conditional Choice Probabilities and the Estimation of Dynamic Models
Abstract
This paper develops a new method for estimating the structural parameters of (discrete choice) dynamic programming problems. The method reduces the computational burden of estimating such models. We show the valuation functions characterizing the expected future utility associated with the choices often can be represented as an easily computed function of the state variables, structural parameters, and the probabilities of choosing alternative actions for states which are feasible in the future. Under certain conditions, nonparametric estimators of these probabilities can be formed from sample information on the relative frequencies of observed choices using observations with the same (or similar) state variables. Substituting the estimators for the true conditional choice probabilities in formulating optimal decision rules, we establish the consistency and asymptotic normality of the resulting structural parameter estimators. To illustrate our new method, we estimate a dynamic model of parental contraceptive choice and fertility using data from the National Fertility Survey.
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Cites
Bellman, R. E. (2010) · doi:10.1515/9781400835386 · Cited by 14,588
The Asymptotic Variance of Semiparametric Estimators
Newey, W. K. (1994) · Econometrica · doi:10.2307/2951752 · Cited by 717
A method of moments interpretation of sequential estimators
Newey, W. K. (1984) · Economics Letters · doi:10.1016/0165-1765(84)90083-1 · Cited by 331
Cited by
Discrete Choice Methods with Simulation
Train, K. E. (2001) · doi:10.1017/cbo9780511805271 · Cited by 7,784
Automobile Prices in Market Equilibrium
Berry, S., Levinsohn, J., & Pakes, A. (1995) · Econometrica · doi:10.2307/2171802 · Cited by 4,883
Estimating Dynamic Models of Imperfect Competition
Bajari, P., Benkard, C. L., & Levin, J. (2007) · Econometrica · doi:10.1111/j.1468-0262.2007.00796.x · Cited by 836
The Costs of Environmental Regulation in a Concentrated Industry
(2012) · Econometrica · doi:10.3982/ecta6750 · Cited by 668
Trade and Labor Market Dynamics: General Equilibrium Analysis of the China Trade Shock
Caliendo, L., Dvorkin, M., & Parro, F. (2019) · Econometrica · doi:10.3982/ecta13758 · Cited by 632
Metadata
- Authors
- Hotz, V. J., & Miller, R. A.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1993-07
- Volume
- 60
- Issue
- 3
- Pages
- 497
- ISSN
- 0034-6527 (ISSN-L)
- OpenAlex
- W1524366261
- Cited by
- 1,008
- References
- 3
- FWCI
- 15.32
- Type
- journal article
- Language
- en
- Open access
- closed
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- Hotz, V. J., & Miller, R. A. (1993). Conditional Choice Probabilities and the Estimation of Dynamic Models. The Review of Economic Studies. https://doi.org/10.2307/2298122
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.