CaltechAUTHORS
  A Caltech Library Service

Some remarks on CCP-based estimators of dynamic models

Fosgerau, Mogens and Melo, Emerson and Shum, Matthew and Sørensen, Jesper R.-V. (2021) Some remarks on CCP-based estimators of dynamic models. Economics Letters, 204 . Art. No. 109911. ISSN 0165-1765. doi:10.1016/j.econlet.2021.109911. https://resolver.caltech.edu/CaltechAUTHORS:20210702-222237727

[img] PDF - Published Version
Creative Commons Attribution.

405kB
[img] PDF - Accepted Version
See Usage Policy.

297kB

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20210702-222237727

Abstract

This note provides several remarks relating to the conditional choice probability (CCP) based estimation approaches for dynamic discrete-choice models. Specifically, the Arcidiacono and Miller (2011) estimation procedure relies on the ”inverse-CCP” mapping ψ(p) from CCPs to choice-specific value functions. Exploiting the convex-analytic structure of discrete choice models, we discuss two approaches for computing this mapping, using either linear or convex programming, for models where the utility shocks can follow arbitrary parametric distributions. Furthermore, the ψ function is generally distinct from the ”selection adjustment” term (i.e. the expectation of the utility shock for the chosen alternative), so that computational approaches for computing the latter may not be appropriate for computing ψ.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/j.econlet.2021.109911DOIArticle
https://doi.org/10.2139/ssrn.3793008DOIWorking Paper
ORCID:
AuthorORCID
Fosgerau, Mogens0000-0002-6452-5215
Melo, Emerson0000-0002-8129-5239
Shum, Matthew0000-0002-6262-915X
Sørensen, Jesper R.-V.0000-0002-0838-7479
Additional Information:© 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). Received 24 February 2021, Revised 8 May 2021, Accepted 13 May 2021, Available online 15 May 2021. Mogens Fosgerau and Jesper R.-V. Sørensen have received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation programme (grant agreement No. 740369). We thank Victor Aguirregabiria, Adam Dearing, and Lixiong Li for comments.
Funders:
Funding AgencyGrant Number
European Research Council (ERC)740369
Subject Keywords:Dynamic discrete choice; Random utility; Linear programming; Convex analysis; Convex optimization
Classification Code:JEL: C35; C61; D90
DOI:10.1016/j.econlet.2021.109911
Record Number:CaltechAUTHORS:20210702-222237727
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20210702-222237727
Official Citation:Mogens Fosgerau, Emerson Melo, Matthew Shum, Jesper R.-V. Sørensen, Some remarks on CCP-based estimators of dynamic models, Economics Letters, Volume 204, 2021, 109911, ISSN 0165-1765, https://doi.org/10.1016/j.econlet.2021.109911. (https://www.sciencedirect.com/science/article/pii/S0165176521001889)
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:109721
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:02 Jul 2021 22:35
Last Modified:06 Jul 2021 22:21

Repository Staff Only: item control page