Single-agent Dynamic Models: Part 3

Matthew Shum

Chapter 4 in Econometric Models for Industrial Organization, 2017, pp 55-72 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Model with Persistence in Unobservables ("Unobserved State Variables")Example: Pakes (1986) patent renewal modelEstimation: Likelihood function and simulation"Crude" frequency simulator: Naive approachImportance sampling approach: Particle filteringNonparametric identification of Markovian Dynamic Discrete Choice (DDC) models with unobserved state variablesBibliography

Keywords: Econometric Models; Industrial Organization; Discrete-Choice Demand Analysis; Models of Dynamic Behavior and Dynamic Games; Multiple Equilibria in Entry Games and Partial Identification; Auction Models (search for similar items in EconPapers)
Date: 2017
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