| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12930 |
| DP12930 Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models | |
| Victor Aguirregabiria; Jiaying Gu; Yao Luo | |
| 发表日期 | 2018-05-11 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is nonparametric, i.e., fixed-effects model. We consider models with two endogenous state variables: the lagged decision variable, and the time duration in the last choice. This class of models includes as particular cases important economic applications such as models of market entry-exit, occupational choice, machine replacement, inventory and investment decisions, or dynamic demand of differentiated products. The identification of structural parameters requires a sufficient statistic that controls for unobserved heterogeneity not only in current utility but also in the continuation value of the forward-looking decision problem. We obtain the minimal sufficient statistic and prove identification of some structural parameters using a conditional likelihood approach. We apply this estimator to a machine replacement model. |
| 主题 | Industrial Organization |
| 关键词 | Panel data discrete choice models Unobserved heterogeneity Structural state dependence Sufficient statistic Dynamic structural models Fixed effects |
| URL | https://cepr.org/publications/dp12930 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541742 |
| 推荐引用方式 GB/T 7714 | Victor Aguirregabiria,Jiaying Gu,Yao Luo. DP12930 Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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