skip to main content

Ulric B. and Evelyn L. Bray Social Sciences Seminar

Tuesday, November 6, 2018
4:00pm to 5:00pm
Add to Cal
Baxter B125
Identification and Estimation of Dynamic Structural Models with Unobserved Choices
Yi Xin, Assistant Professor of Economics, Division of the Humanities and Social Sciences, Caltech,

Abstract: This paper develops identification and estimation methods for finite-horizon dynamic discrete choice models when agents' actions are unobserved to econometricians. We provide conditions under which choice probabilities and state transition rules are nonparametrically identified when there is a continuous state variable. We also consider scenarios where only discrete state variables are available. Our results extend to dynamic models with serially correlated unobserved heterogeneity. We develop sieve maximum likelihood estimation for the parameters of interest. Monte Carlo simulation results demonstrate the effectiveness of the proposed approaches.

For more information, please contact Mary Martin by phone at 626-395-5884 or by email at [email protected].