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
- 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.
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
- 1403 Econometrics