Practical Methods for Estimation of Dynamic Discrete Choice Models

Peter Arcidiacono () and Paul B. Ellickson ()
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Peter Arcidiacono: Department of Economics, Duke University, Durham, North Carolina 27708
Paul B. Ellickson: Simon School of Business Administration, University of Rochester, Rochester, New York 14627

Annual Review of Economics, 2011, vol. 3, issue 1, 363-394

Abstract: Many discrete decisions are made with an eye toward how they will affect future outcomes. Formulating and estimating the underlying models that generate these decisions is difficult. Conditional choice probability (CCP) estimators often provide simpler ways to estimate dynamic discrete choice problems. Recent work shows how to frame dynamic discrete choice problems in a way that is conducive to CCP estimation and demonstrates that CCP estimators can be adapted to handle rich patterns of unobserved state variables.

Keywords: dynamic structural models; unobserved heterogeneity; conditional choice probabilities (search for similar items in EconPapers)
JEL-codes: C14 C25 C61 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (73)

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