Conditional Choice Probabilities and the Estimation of Dynamic Models

By V. Hotz, Robert A. Miller. 1993

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Citations in the corpus

SHOPPER: A Probabilistic Model of Consumer Choice with Substitutes and Complements (2017, background): “The thinking-ahead mechanism is an example of inferring agent’s preferences from their behavior in a dynamic model, a type of exercise with a long history in applied econometrics (e.g. Wolpin (1984); Hotz and Miller (1993)).”
Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity (2011, background): “…1 of Hotz and Miller (1993, p. 501), there exists a mapping ψ(1)k (p) for each j ∈ {1 J} such that ψ(1)j [pt(zt)] = vjt(zt)− v1t(zt) (A.3) which implies vjt(zt)− vkt(zt)=ψ(1)j [pt(zt)] −ψ(1)k [pt(zt)] (A.4) Hotz and Miller (1993) also proved that (A.3) implies the existence of a mapping ψ(2)j…”
Semiparametric identification and heterogeneity in discrete choice dynamic programming models (2000, background): “Examples include patent renewal (Pakes, 1986), bus engine replacement (Rust, 1987), job search (Wolpin, 1987), fertility (Hotz and Miller, 1993), life cycle earnings (Keane and Wolpin, 1997), and schooling (Taber, 1998); a survey can be found in Eckstein and Wolpin (1989) or Rust (1994).”
A Dynamic Model of Demand for Houses and Neighborhoods (2016, unknown): “We therefore employ a variant of Hotz and Miller (1993) based on the contraction mapping in Berry (1994) which avoids this problem.”
Locally Robust Semiparametric Estimation (2016, methodology): “Belloni, Chernozhukov, and Wei (2013), Belloni, Chernozhukov, and Hansen (2014), Kandasamy et al. (2015), and Belloni, Chernozhukov, Fernandez-Val, and Hansen (2016) derived LR moments in several specific settings.”
A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators (2012, background): “For example, in the approach of Hotz and Miller (1993), the first step is to estimate reduced-form policy functions that arise from the equilibrium of the underlying structural model.”
Semiparametric Inference in Dynamic Binary Choice Models, Second Version (2014, background): “Finally, the assumption is also very convenient for computationally feasible classical (Rust (1994), Hotz and Miller (1993)) and Bayesian (Norets (2009)) estimation of parametrically specified models.”
Dynamic Discrete Choice Structural Models: A Survey (2010, unknown): “Hotz andMiller proved that thismapping relating choice probabilities and value differences is invertible (see Proposition 1, page 501, in Hotz and Miller (1993)).”
Sequential Estimation of Structural Models with a Fixed Point Constraint (2008, unknown): “A number of recent papers in empirical industrial organization build on the idea of Hotz and Miller (1993) to develop two-step estimators for models with multiple agents (e.g., Bajari, Benkard, and Levin, 2007; Pakes, Ostrovsky, and Berry, 2007; Pesendorfer and SchmidtDengler, 2008; Bajari,…”
Estimating Dynamic Models of Imperfect Competition (2004, unknown): “ Hotz and Miller (1993) showed, in a single agent dynamic discrete choice problem, that knowledge of the probability distribution over an agent’s choices is sucient to derive the agent’s value function.”