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Estimation of Dynamic Discrete Choice Models in Continuous Time

Author

Listed:
  • Paul Ellickson

    (University of Rochester)

  • Patrick Bayer

    (Duke University)

  • Jason Blevins

    (Duke University)

  • Peter Arcidiacono

    (Duke University)

Abstract

power of our framework using several large-scale Monte Carlo experiments.

Suggested Citation

  • Paul Ellickson & Patrick Bayer & Jason Blevins & Peter Arcidiacono, 2010. "Estimation of Dynamic Discrete Choice Models in Continuous Time," 2010 Meeting Papers 70, Society for Economic Dynamics.
    • Handle: RePEc:red:sed010:70
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    References listed on IDEAS

    as
    1. Peter Arcidiacono, 2005. "Affirmative Action in Higher Education: How Do Admission and Financial Aid Rules Affect Future Earnings?," Econometrica, Econometric Society, vol. 73(5), pages 1477-1524, September.
    2. Caplin, Andrew & Nalebuff, Barry, 1991. "Aggregation and Imperfect Competition: On the Existence of Equilibrium," Econometrica, Econometric Society, vol. 59(1), pages 25-59, January.
    3. Victor Aguirregabiria & Pedro Mira, 2007. "Sequential Estimation of Dynamic Discrete Games," Econometrica, Econometric Society, vol. 75(1), pages 1-53, January.
    4. Robert Miller & Peter Arcidiacono, 2008. "CCP Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity," 2008 Meeting Papers 1065, Society for Economic Dynamics.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Nicolai V. Kuminoff & V. Kerry Smith & Christopher Timmins, 2013. "The New Economics of Equilibrium Sorting and Policy Evaluation Using Housing Markets," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1007-1062, December.
    2. Otsu, Taisuke & Pesendorfer, Martin & Takahashi, Yuya, 2013. "Testing for equilibrium multiplicity in dynamic Markov games," LSE Research Online Documents on Economics 101968, London School of Economics and Political Science, LSE Library.
    3. Nicolai V. Kuminoff & V. Kerry Smith & Christopher Timmins, 2010. "The New Economics of Equilibrium Sorting and its Transformational Role for Policy Evaluation," NBER Working Papers 16349, National Bureau of Economic Research, Inc.
    4. Takahashi, Yuya, 2013. "Estimating a War of Attrition: The Case of the U.S. Movie Theater Industry," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 424, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    5. Peter Arcidiacono & Paul B. Ellickson, 2011. "Practical Methods for Estimation of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 3(1), pages 363-394, September.
    6. Doraszelski, Ulrich & Escobar, Juan F., 2019. "Protocol invariance and the timing of decisions in dynamic games," Theoretical Economics, Econometric Society, vol. 14(2), May.
    7. Heckman, James J. & Humphries, John Eric & Veramendi, Gregory & Urzua, Sergio, 2014. "Education, Health and Wages," IZA Discussion Papers 8027, Institute of Labor Economics (IZA).
    8. Taisuke Otsu & Martin Pesendorfer & Yuya Takahashi, 2016. "Pooling data across markets in dynamic Markov games," Quantitative Economics, Econometric Society, vol. 7(2), pages 523-559, July.
    9. Hong, Han & Li, Weiming & Wang, Boyu, 2015. "Estimation of dynamic discrete models from time aggregated data," Journal of Econometrics, Elsevier, vol. 188(2), pages 435-446.
    10. Pesendorfer, Martin & Takahashi, Yuya & Otsu, Taisuke, 2014. "Testing Equilibrium Multiplicity in Dynamic Games," CEPR Discussion Papers 10111, C.E.P.R. Discussion Papers.
    11. Victor Aguirregabiria & Junichi Suzuki, 2015. "Empirical Games of Market Entry and Spatial Competition in Retail Industries," Working Papers tecipa-534, University of Toronto, Department of Economics.
    12. Andrew Sweeting, 2015. "A Model of Non-Stationary Dynamic Price Competition with an Application to Platform Design," Working Papers 15-03, NET Institute.

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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets

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