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This paper derives a multinomial logit form for dynamic discrete choice models of optimal stopping and suggests a two-step estimator. The first stage estimates nonparametrically the choice probability of terminal state next period. The second stage is an implementation of modified multinomial logit estimation. This paper also suggests semiparametric conditional choice probability (CCP) estimators for discrete choice dynamic models allowing for unobserved individual heterogeneity. I describe a modified Expectation-Maximization (EM) algorithm that involves nonparametric first stage estimation.
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참고문헌 (10)
참고문헌 신청
Aguirregabiria, V. / 2007 / Sequential Estimation of Dynamic Discrete Games / Econometrica 75 : 1 ~ 53
Arcidiacono, P. / 2011 / Conditional Choice Probability Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity / Econometrica 7 : 1823 ~ 1868
Heckman, J. / 2007 / Dynamic Discrete Choice and Dynamic Treatment Effects / Journal of Econometrics 136 : 341 ~ 396
Hotz, V. / 1993 / Conditional Choice Probabilities and the Estimation of Dynamic Models / Review of Economic Studies 60 : 497 ~ 529
John Rust / 198709 / OPTIMAL REPLACEMENT OF GMC BUS ENGINES - AN EMPIRICAL-MODEL OF ZURCHER,HAROLD / ECONOMETRICA 55 (5) : 999 ~ 1033
Arcidiacono, P. / 2011 / Conditional Choice Probability Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity / Econometrica 7 : 1823 ~ 1868
Heckman, J. / 2007 / Dynamic Discrete Choice and Dynamic Treatment Effects / Journal of Econometrics 136 : 341 ~ 396
Hotz, V. / 1993 / Conditional Choice Probabilities and the Estimation of Dynamic Models / Review of Economic Studies 60 : 497 ~ 529
John Rust / 198709 / OPTIMAL REPLACEMENT OF GMC BUS ENGINES - AN EMPIRICAL-MODEL OF ZURCHER,HAROLD / ECONOMETRICA 55 (5) : 999 ~ 1033
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