Advanced Search
MyIDEAS: Login to save this article or follow this journal

Semiparametric estimation of Markov decision processes with continuous state space

Contents:

Author Info

  • Srisuma, Sorawoot
  • Linton, Oliver

Abstract

We propose a general two-step estimator for a popular Markov discrete choice model that includes a class of Markovian games with continuous observable state space. Our estimation procedure generalizes the computationally attractive methodology of Pesendorfer and Schmidt-Dengler (2008) that assumed finite observable states. This extension is non-trivial as the policy value functions are solutions to some type II integral equations. We show that the inverse problem is well-posed. We provide a set of primitive conditions to ensure root-T consistent estimation for the finite dimensional structural parameters and the distribution theory for the value functions in a time series framework.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S030440761100234X
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 166 (2012)
Issue (Month): 2 ()
Pages: 320-341

as in new window
Handle: RePEc:eee:econom:v:166:y:2012:i:2:p:320-341

Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Discrete Markov decision models; Kernel smoothing semiparametric estimation; Well-posed inverse problem;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Victor Aguirregabiria & Pedro Mira, 2002. "Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models," Econometrica, Econometric Society, vol. 70(4), pages 1519-1543, July.
  2. Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of semiparametric models when the criterion function is not smooth," LSE Research Online Documents on Economics 2167, London School of Economics and Political Science, LSE Library.
  3. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier.
  4. Victor Aguirregabiria & Pedro Mira, 2007. "Sequential Estimation of Dynamic Discrete Games," Econometrica, Econometric Society, vol. 75(1), pages 1-53, 01.
  5. Patrick Bajari & C. Lanier Benkard & Jonathan Levin, 2004. "Estimating Dynamic Models of Imperfect Competition," NBER Working Papers 10450, National Bureau of Economic Research, Inc.
  6. Ariel Pakes & Michael Ostrovsky & Steve Berry, 2004. "Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)," NBER Working Papers 10506, National Bureau of Economic Research, Inc.
  7. Altug, Sumru & Miller, Robert A, 1998. "The Effect of Work Experience on Female Wages and Labour Supply," Review of Economic Studies, Wiley Blackwell, vol. 65(1), pages 45-85, January.
  8. V. Joseph Hotz & Robert A. Miller, 1992. "Conditional Choice Probabilities and the Estimation of Dynamic Models," Working Papers 9202, Harris School of Public Policy Studies, University of Chicago.
  9. Pesendorfer, Martin & Schmidt-Dengler, Philipp, 2003. "Identification and Estimation of Dynamic Games," CEPR Discussion Papers 3965, C.E.P.R. Discussion Papers.
  10. Mireia Jofre-Bonet & Martin Pesendorfer, 2001. "Estimation of a Dynamic Auction Game," NBER Working Papers 8626, National Bureau of Economic Research, Inc.
  11. Ariel Pakes & Steven Olley, 1994. "A Limit Theorem for a Smooth Class of Semiparametric Estimators," Cowles Foundation Discussion Papers 1066, Cowles Foundation for Research in Economics, Yale University.
  12. Hotz, V Joseph & Robert A. Miller & Seth Sanders & Jeffrey Smith, 1994. "A Simulation Estimator for Dynamic Models of Discrete Choice," Review of Economic Studies, Wiley Blackwell, vol. 61(2), pages 265-89, April.
  13. Victor Aguirregabiria & Pedro mira, 2007. "Dynamic Discrete Choice Structural Models: A Survey," Working Papers tecipa-297, University of Toronto, Department of Economics.
  14. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  15. Martin Pesendorfer & Philipp Schmidt-Dengler, 2008. "Asymptotic Least Squares Estimators for Dynamic Games -super-1," Review of Economic Studies, Oxford University Press, vol. 75(3), pages 901-928.
  16. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  17. Xiaohong Chen & Demian Pouzo, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Cowles Foundation Discussion Papers 1640R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2009.
  18. Kasahara, Hiroyuki & Shimotsu, Katsumi, 2008. "Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models," Journal of Econometrics, Elsevier, vol. 146(1), pages 92-106, September.
  19. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
  20. Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  21. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
  22. Chen, Xiaohong & Pouzo, Demian, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," Journal of Econometrics, Elsevier, vol. 152(1), pages 46-60, September.
  23. Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
  24. Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77 Elsevier.
  25. Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, vol. 71(4), pages 1049-1082, 07.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han, 2014. "A fast resample method for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 179(2), pages 128-133.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:166:y:2012:i:2:p:320-341. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.