Estimation of Structural Optimization Models: A Note on Identification
STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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.
Keywords: Consistency; Identification; Optimization Models (search for similar items in EconPapers)
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Working Paper: Estimation of structural optimization models: a note on identification (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:547
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