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Estimation of Structural Optimization Models: A Note on Identification

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  • Sorawoot Srisuma

Abstract

Bajari, Benkard and Levin (2007) propose an estimation methodology for a broadclass of dynamic optimization problems. To carry out their procedure, one needs toselect a set of alternative policy functions and compare the implied expectedpayoffs with that from the data. We show that this can generally lead to objectivefunctions that are not capable of consistently estimating an identified model.

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File URL: http://sticerd.lse.ac.uk/dps/em/em547.pdf
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Bibliographic Info

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2010/547.

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Date of creation: May 2010
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Handle: RePEc:cep:stiecm:/2010/547

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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

Related research

Keywords: Consistency; Identification; Optimization Models;

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Cited by:
  1. Bruce A. Blonigen & Christopher R. Knittel & Anson Soderbery, 2013. "Keeping it Fresh: Strategic Product Redesigns and Welfare," NBER Working Papers 18997, National Bureau of Economic Research, Inc.

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