Skip to main content
Journal cover image

Nonstationary dynamic models with finite dependence

Publication ,  Journal Article
Arcidiacono, P; Miller, RA
Published in: Quantitative Economics
July 1, 2019

The estimation of nonstationary dynamic discrete choice models typically requires making assumptions far beyond the length of the data. We extend the class of dynamic discrete choice models that require only a few-period-ahead conditional choice probabilities, and develop algorithms to calculate the finite dependence paths. We do this both in single agent and games settings, resulting in expressions for the value functions that allow for much weaker assumptions regarding the time horizon and the transitions of the state variables beyond the sample period.

Duke Scholars

Published In

Quantitative Economics

DOI

EISSN

1759-7331

ISSN

1759-7323

Publication Date

July 1, 2019

Volume

10

Issue

3

Start / End Page

853 / 890

Related Subject Headings

  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Arcidiacono, P., & Miller, R. A. (2019). Nonstationary dynamic models with finite dependence. Quantitative Economics, 10(3), 853–890. https://doi.org/10.3982/QE626
Arcidiacono, P., and R. A. Miller. “Nonstationary dynamic models with finite dependence.” Quantitative Economics 10, no. 3 (July 1, 2019): 853–90. https://doi.org/10.3982/QE626.
Arcidiacono P, Miller RA. Nonstationary dynamic models with finite dependence. Quantitative Economics. 2019 Jul 1;10(3):853–90.
Arcidiacono, P., and R. A. Miller. “Nonstationary dynamic models with finite dependence.” Quantitative Economics, vol. 10, no. 3, July 2019, pp. 853–90. Scopus, doi:10.3982/QE626.
Arcidiacono P, Miller RA. Nonstationary dynamic models with finite dependence. Quantitative Economics. 2019 Jul 1;10(3):853–890.
Journal cover image

Published In

Quantitative Economics

DOI

EISSN

1759-7331

ISSN

1759-7323

Publication Date

July 1, 2019

Volume

10

Issue

3

Start / End Page

853 / 890

Related Subject Headings

  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics