Nonstationary dynamic models with finite dependence

Peter Arcidiacono and Robert A. Miller

Quantitative Economics, 2019, vol. 10, issue 3, 853-890

Abstract: The estimation of nonstationary dynamic discrete choice models typically requires making assumptions far beyond the length of the data. We extend the class of dynamic discrete choice models that require only a few‐period‐ahead conditional choice probabilities, and develop algorithms to calculate the finite dependence paths. We do this both in single agent and games settings, resulting in expressions for the value functions that allow for much weaker assumptions regarding the time horizon and the transitions of the state variables beyond the sample period.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://doi.org/10.3982/QE626

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:quante:v:10:y:2019:i:3:p:853-890

Ordering information: This journal article can be ordered from
https://www.econometricsociety.org/membership

Access Statistics for this article

More articles in Quantitative Economics from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().