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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.

Suggested Citation

  • Sorawoot Srisuma, 2010. "Estimation of Structural Optimization Models: A Note on Identification," STICERD - Econometrics Paper Series 547, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:547
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    File URL: https://sticerd.lse.ac.uk/dps/em/em547.pdf
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    References listed on IDEAS

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    1. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, September.
    2. Patrick Bajari & C. Lanier Benkard & Jonathan Levin, 2007. "Estimating Dynamic Models of Imperfect Competition," Econometrica, Econometric Society, vol. 75(5), pages 1331-1370, September.
    3. Noton, Carlos, 2016. "Structural estimation of price adjustment costs in the European car market," International Journal of Industrial Organization, Elsevier, vol. 49(C), pages 105-147.
    4. Carlos Daniel Santos, 2009. "Recovering the Sunk Costs of R&D: the Moulds Industry Case," CEP Discussion Papers dp0958, Centre for Economic Performance, LSE.
    5. Khan, Shakeeb & Tamer, Elie, 2009. "Inference on endogenously censored regression models using conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 152(2), pages 104-119, October.
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    Cited by:

    1. Blonigen, Bruce A. & Knittel, Christopher R. & Soderbery, Anson, 2017. "Keeping it fresh: Strategic product redesigns and welfare," International Journal of Industrial Organization, Elsevier, vol. 53(C), pages 170-214.
    2. Jason R. Blevins, 2016. "Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 773-804, August.

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    More about this item

    Keywords

    Consistency; Identification; Optimization Models;
    All these keywords.

    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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