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Ökonometrische Analyse diskreter dynamischer Entscheidungsprozesse

Listed author(s):
  • Winter, Joachim

Eine Vielzahl ökonomischer Entscheidungen ist diskreter Natur und weist ein intertemporales, sequentielles Element auf. Beispiele sind das Ersatzproblem für dauerhafte Wirtschaftsgüter, die Investitionsentscheidung bei endogenem Marktaustritt, die Wahl des Verrentungszeitpunktes sowie die Migrationsentscheidung. Wegen ihrer sequentiellen Struktur sollte die Analyse dieser Entscheidungen in ein intertemporales Optimierungmodell eingebettet werden; in diesen Fällen spricht man von diskreten dynamischen Entscheidungsprozessen. Die strukturelle ökonometrische Analyse derartiger Modelle ist anspruchsvoll, weil sie eine Lösung des zugrundeliegenden dynamischen Optimierungsmodells erfordert. In den letzten Jahren wurden dazu eine Reihe von Verfahren entwickelt, die in dieser Arbeit vorgestellt werden sollen. Der Schwerpunkt liegt dabei auf einem von Rust (1987, 1988) entwickelten Maximum-Likelihood-Verfahren, dem geschachtelten Fixpunkt-Algorithmus. Dieses Verfahren ist vielseitig einsetzbar, aber numerisch aufwendig. Praktische Erfahrungen mit diesem Verfahren werden anhand der genannten vier Anwendungen (Ersatzinvestition, Betriebsschließung, Ruhestandsentscheidung, Migration) illustriert.

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Paper provided by Sonderforschungsbreich 504 in its series Papers with number 99-27.

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Date of creation: 1998
Handle: RePEc:mnh:spaper:2856
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  1. 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.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
  3. Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-1185, July.
  4. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
  5. Wolpin, Kenneth I, 1996. "Public-Policy Uses of Discrete-Choice Dynamic Programming Models," American Economic Review, American Economic Association, vol. 86(2), pages 427-432, May.
  6. John Rust & Christopher Phelan, 1997. "How Social Security and Medicare Affect Retirement Behavior in a World of Incomplete Markets," Econometrica, Econometric Society, vol. 65(4), pages 781-832, July.
  7. Richard Ericson & Ariel Pakes, 1995. "Markov-Perfect Industry Dynamics: A Framework for Empirical Work," Review of Economic Studies, Oxford University Press, vol. 62(1), pages 53-82.
  8. Kapteyn, Arie & Kiefer, Nicholas M & Rust, John, 1995. "Introduction: The Microeconometrics of Dynamic Decision Making," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(S), pages 1-7, Suppl. De.
  9. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
  10. An, Mark Y., 1995. "Econometric Analysis of Sequential Discrete Choice Models," Working Papers 95-55, Duke University, Department of Economics.
  11. Keane, Michael & Wolpin, Kenneth, 1997. "Introduction to the JBES Special Issue on Structural Estimation in Applied Microeconomics," MPRA Paper 55136, University Library of Munich, Germany.
  12. Winter, Joachim, . "Investment and Exit Decisions at the Plant Level: A Dynamic Programming Approach," Monographs in Economics, University of Munich, Department of Economics, number 19732, December.
  13. 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.
  14. John P. Rust, 1989. "A Dynamic Programming Model of Retirement Behavior," NBER Chapters,in: The Economics of Aging, pages 359-404 National Bureau of Economic Research, Inc.
  15. Fair, Ray C., 1996. "Computational methods for macroeconometric models," Handbook of Computational Economics,in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 3, pages 143-169 Elsevier.
  16. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  17. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
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