| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25134 |
| 来源ID | Working Paper 25134 |
| Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models | |
| Myrto Kalouptsidi; Paul T. Scott; Eduardo Souza-Rodrigues | |
| 发表日期 | 2018-10-08 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | In structural dynamic discrete choice models, unobserved and mis-measured state variables may lead to biased parameter estimates and misleading inference. In this paper, we show that instrumental variables can address such measurement problems when they relate to state variables that evolve exogenously from the perspective of individual agents (i.e., market-level states). We define a class of linear instrumental variables estimators that rely on Euler equations expressed in terms of conditional choice probabilities (ECCP estimators). These estimators do not require observing or modeling the agent's entire information set, nor solving or simulating a dynamic program. As such, they are simple to implement and computation- ally light. We provide constructive arguments for the identification of model primitives, and establish the estimator's consistency and asymptotic normality. Four applied examples serve to illustrate the ECCP approach's implementation, advantages, and limitations: dynamic demand for durable goods, agricultural land use change, technology adoption, and dynamic labor supply. We illustrate the estimator's good finite-sample performance in a Monte Carlo study, and we estimate a labor supply model empirically for taxi drivers in New York City. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Mathematical Tools |
| URL | https://www.nber.org/papers/w25134 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582808 |
| 推荐引用方式 GB/T 7714 | Myrto Kalouptsidi,Paul T. Scott,Eduardo Souza-Rodrigues. Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25134.pdf（779KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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