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Published July 2021 | Published + Accepted Version
Journal Article Open

Some remarks on CCP-based estimators of dynamic models

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.

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.

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Published - 1-s2.0-S0165176521001889-main.pdf

Accepted Version - SSRN-id3793008.pdf

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Created:
August 22, 2023
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