Conditional Choice Probability Estimation of Dynamic Discrete Choice Models with 2-period Finite Dependence
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866909207710662656 |
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| author | Hao, Yu Kasahara, Hiroyuki |
| author_facet | Hao, Yu Kasahara, Hiroyuki |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_12467 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Conditional Choice Probability Estimation of Dynamic Discrete Choice Models with 2-period Finite Dependence Hao, Yu Kasahara, Hiroyuki Econometrics 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. |
| title | Conditional Choice Probability Estimation of Dynamic Discrete Choice Models with 2-period Finite Dependence |
| topic | Econometrics |
| url | https://arxiv.org/abs/2405.12467 |