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Serially correlated variables in dynamic, discrete choice models

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  • Todd R. Stinebrickner

    (Department of Economics, The University of Western Ontario, Social Science Centre, London, Ontario, Canada N6A 5C2)

Abstract

This paper discusses the problems that are encountered when dynamic, discrete choice models are specified with continuous, serially correlated state variables. A variety of approximation methods that can deal with these problems is examined, and an empirical example that allows continuous variables to be serially correlated is presented. Copyright © 2000 John Wiley & Sons, Ltd.

Suggested Citation

  • Todd R. Stinebrickner, 2000. "Serially correlated variables in dynamic, discrete choice models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 595-624.
    • Handle: RePEc:jae:japmet:v:15:y:2000:i:6:p:595-624
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    File URL: http://qed.econ.queensu.ca:80/jae/2000-v15.6/
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    References listed on IDEAS

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    8. Keane, Michael P & Wolpin, Kenneth I, 1994. "The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpolation: Monte Carlo Evidence," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 648-672, November.
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    13. Pakes, Ariel S, 1986. "Patents as Options: Some Estimates of the Value of Holding European Patent Stocks," Econometrica, Econometric Society, vol. 54(4), pages 755-784, July.
    14. Todd R. Stinebrickner, 1999. "Estimation Of A Duration Model In The Presence Of Missing Data," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 529-542, August.
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    Cited by:

    1. Bound, John & Stinebrickner, Todd & Waidmann, Timothy, 2010. "Health, economic resources and the work decisions of older men," Journal of Econometrics, Elsevier, vol. 156(1), pages 106-129, May.
    2. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
    3. repec:lan:wpaper:4354 is not listed on IDEAS
    4. Sullivan, Paul, 2006. "Interpolating Value Functions in Discrete Choice Dynamic Programming Models," MPRA Paper 864, University Library of Munich, Germany.
    5. Ralph Stinebrickner & Todd Stinebrickner, 2014. "Academic Performance and College Dropout: Using Longitudinal Expectations Data to Estimate a Learning Model," Journal of Labor Economics, University of Chicago Press, vol. 32(3), pages 601-644.
    6. repec:lan:wpaper:4483 is not listed on IDEAS
    7. repec:lan:wpaper:4484 is not listed on IDEAS
    8. R Freguglia & G Spricigo & G Johnes & A Aggarwal, 2011. "Education and labour market outcomes: evidence from Brazil," Working Papers 615809, Lancaster University Management School, Economics Department.
    9. repec:lan:wpaper:4789 is not listed on IDEAS
    10. Keane, Michael P. & Todd, Petra E. & Wolpin, Kenneth I., 2011. "The Structural Estimation of Behavioral Models: Discrete Choice Dynamic Programming Methods and Applications," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 4, chapter 4, pages 331-461, Elsevier.
    11. Geraint Johnes, 2009. "Occupation and the labour market participation of women: why do some people trade down jobs when careers are interrupted?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1093-1096.
    12. repec:lan:wpaper:4788 is not listed on IDEAS
    13. repec:lan:wpaper:4356 is not listed on IDEAS
    14. A Aggarwal & R Freguglia & G Johnes & G Spricigo, 2011. "Education and labour market outcomes : evidence from India," Working Papers 615663, Lancaster University Management School, Economics Department.
    15. repec:lan:wpaper:4355 is not listed on IDEAS

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