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- Publisher
- Springer Journals
- Copyright
- 2017 Japanese Economic Association
- ISSN
- 1352-4739
- eISSN
- 1468-5876
- DOI
- 10.1111/jere.12169
- Publisher site
- See Article on Publisher Site
Abstract
Abstract This study reviews estimation methods for the infinite horizon discrete choice dynamic programming models and conducts Monte Carlo experiments. We consider: the maximum likelihood estimator (MLE), the two-step conditional choice probabilities estimator, sequential estimators based on policy iterations mapping under finite dependence, and sequential estimators based on value iteration mappings. Our simulation result shows that the estimation performance of the sequential estimators based on policy iterations and value iteration mappings is largely comparable to the MLE, while they achieve substantial computation gains over the MLE by a factor of 100 for a model with a moderately large state space.
Journal
The Japanese Economic Review – Springer Journals
Published: Mar 1, 2018
Keywords: economics, general; microeconomics; macroeconomics/monetary economics//financial economics; econometrics; development economics; economic history