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Pairwise-Difference Estimation of a Dynamic Optimization Model
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DOI：10.1111/j.1467-937X.2009.00576.x.png)
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摘要
En 中文
We develop a new estimation methodology for dynamic optimization models with unobserved shocks and deterministic accumulation of the observed state variables. Investment models are an important example of such models. Our pairwise-difference approach exploits two common features of these models: (1) the monotonicity of the agent's decision (policy) function in the shocks, conditional on the observed state variables; and (2) the state-contingent nature of optimal decision making which implies that, conditional on the observed state variables, the variation in observed choices across agents must be due to randomness in the shocks across agents. We illustrate our procedure by estimating a dynamic trading model for the milk production quota market in Ontario, Canada.
Keyword:
DISCRETE DECISION-PROCESSES
SEMIPARAMETRIC ESTIMATION
GAMES
IDENTIFICATION
CONSUMERS
SELECTION
CHOICE
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6.4
论文数:
2.5K
被引数:
2.1W
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Semiparametric identification and heterogeneity in discrete choice dynamic programming models离散选择动态规划模型中的半参数识别和异质性
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