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Book part
Publication date: 13 December 2013

Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models

Victor Aguirregabiria and Arvind Magesan

We derive marginal conditions of optimality (i.e., Euler equations) for a general class of Dynamic Discrete Choice (DDC) structural models. These conditions can be used to…

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Abstract

We derive marginal conditions of optimality (i.e., Euler equations) for a general class of Dynamic Discrete Choice (DDC) structural models. These conditions can be used to estimate structural parameters in these models without having to solve for approximate value functions. This result extends to discrete choice models the GMM-Euler equation approach proposed by Hansen and Singleton (1982) for the estimation of dynamic continuous decision models. We first show that DDC models can be represented as models of continuous choice where the decision variable is a vector of choice probabilities. We then prove that the marginal conditions of optimality and the envelope conditions required to construct Euler equations are also satisfied in DDC models. The GMM estimation of these Euler equations avoids the curse of dimensionality associated to the computation of value functions and the explicit integration over the space of state variables. We present an empirical application and compare estimates using the GMM-Euler equations method with those from maximum likelihood and two-step methods.

Details

Structural Econometric Models
Type: Book
DOI: https://doi.org/10.1108/S0731-9053(2013)0000032001
ISBN: 978-1-78350-052-9

Keywords

  • Dynamic discrete choice structural models
  • Euler equations
  • choice probabilities
  • C35
  • C51
  • C61

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Book part
Publication date: 1 January 2014

Labour Supply Models

Rolf Aaberge and Ugo Colombino

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Handbook of Microsimulation Modelling
Type: Book
DOI: https://doi.org/10.1108/S0573-855520140000293006
ISBN: 978-1-78350-570-8

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Book part
Publication date: 7 December 2001

COMPUTATIONAL OPTIMAL GROWTH ECONOMICS: THE DYNAMIC OPTIMISATION METHODS

Sardas M.N. Islam

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Optimal Growth Economics: An Investigation of the Contemporary Issues and the Prospect for Sustainable Growth
Type: Book
DOI: https://doi.org/10.1108/S0573-8555(2001)0000252006
ISBN: 978-0-44450-860-7

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Article
Publication date: 7 November 2016

Education and occupational outcomes: evidence from Brazil

Geraint Johnes, Ricardo Freguglia, Gisele Spricigo and Aradhna Aggarwal

The purpose of this paper is to examine the dynamic relationship between policies related to educational provision and both educational participation and occupational…

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Abstract

Purpose

The purpose of this paper is to examine the dynamic relationship between policies related to educational provision and both educational participation and occupational outcomes in Brazil, using PNAD and RAIS-Migra data.

Design/methodology/approach

Outcomes are examined using: static multinomial logit analysis, and structural dynamic discrete choice modelling. The latter approach, coupled with the quality of the RAIS-Migra data source, allows the authors to evaluate the education policy impacts over time.

Findings

The main results show that the education level raises the propensity that the individual will be in formal sector work or still in education, and reduces the probability of the other outcomes. Transition into non-manual formal sector work following education may, however, occur via a spell of manual work.

Originality/value

This is the first study of occupational destination to be conducted in a rapidly developing country using high-quality panel data and appropriate dynamic methods, and as such makes an important contribution in confirming that increased supply of highly skilled workers enhances occupational attainment in this context.

Details

International Journal of Manpower, vol. 37 no. 8
Type: Research Article
DOI: https://doi.org/10.1108/IJM-05-2015-0079
ISSN: 0143-7720

Keywords

  • Development
  • Occupation
  • Dynamics
  • Education

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Book part
Publication date: 6 August 2014

The Choice of Airport, Airline, and Departure Date and Time: Estimating the Demand for Flights

Diego Escobari and Cristhian Mellado

This chapter estimates the demand for flights in an international air travel market using a unique dataset with detailed information not only on flight choices but also on…

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Abstract

This chapter estimates the demand for flights in an international air travel market using a unique dataset with detailed information not only on flight choices but also on contemporaneous prices and characteristics of all the alternative non-booked flights. The estimation strategy employs a simple discrete choice random utility model that we use to analyze how choices and its response to prices depend on the departing airport, the identity of the carrier, and the departure date and time. The results show that a 10% increase in prices in a 100-seat aircraft throughout a 100-period selling season decreases quantity demanded by 7.7 seats. We also find that the quantity demanded is more responsive to prices for Delta and American, during morning and evening flights and that the response to prices changes significantly over different departure dates.

Details

The Economics of International Airline Transport
Type: Book
DOI: https://doi.org/10.1108/S2212-160920140000004006
ISBN: 978-1-78350-639-2

Keywords

  • Airline demand
  • discrete choice
  • departure time
  • posted prices
  • R41
  • C25
  • L93

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Book part
Publication date: 13 December 2013

Identifying Dynamic Games with Serially Correlated Unobservables

Yingyao Hu and Matthew Shum

In this article, we consider the nonparametric identification of Markov dynamic games models in which each firm has its own unobserved state variable, which is persistent…

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In this article, we consider the nonparametric identification of Markov dynamic games models in which each firm has its own unobserved state variable, which is persistent over time. This class of models includes most models in the Ericson and Pakes (1995) and Pakes and McGuire (1994) framework. We provide conditions under which the joint Markov equilibrium process of the firms’ observed and unobserved variables can be nonparametrically identified from data. For stationary continuous action games, we show that only three observations of the observed component are required to identify the equilibrium Markov process of the dynamic game. When agents’ choice variables are discrete, but the unobserved state variables are continuous, four observations are required.

Details

Structural Econometric Models
Type: Book
DOI: https://doi.org/10.1108/S0731-9053(2013)0000032003
ISBN: 978-1-78350-052-9

Keywords

  • Dynamic games
  • identification
  • unobserved heterogeneity
  • serial correlation
  • L13
  • C73
  • C14

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Book part
Publication date: 1 January 2014

Dynamic Models

Jinjing Li, Cathal O’Donoghue and Gijs Dekkers

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Details

Handbook of Microsimulation Modelling
Type: Book
DOI: https://doi.org/10.1108/S0573-855520140000293009
ISBN: 978-1-78350-570-8

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Book part
Publication date: 30 March 2006

Identification and Inference in Dynamic Programming Models

Bent J. Christensen and Nicholas M. Kiefer

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Structural Models of Wage and Employment Dynamics
Type: Book
DOI: https://doi.org/10.1016/S0573-8555(05)75014-8
ISBN: 978-0-44452-089-0

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Book part
Publication date: 2 February 2000

A Structural Model of Labor Market Histories with Duration Dependence and Endogenous Search

M.-Y. An

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Panel Data and Structural Labour Market Models
Type: Book
DOI: https://doi.org/10.1108/S0573-8555(2000)0000243015
ISBN: 978-0-44450-319-0

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Book part
Publication date: 30 November 2011

Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey

Massimo Guidolin

I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models…

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Abstract

I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models have to fit financial time series and at the same time provide powerful tools to test hypotheses formulated in the light of financial theories, and to generate positive economic value, as measured by risk-adjusted performances, in dynamic asset allocation applications. The chapter also reviews the role of Markov switching dynamics in modern asset pricing models in which the no-arbitrage principle is used to characterize the properties of the fundamental pricing measure in the presence of regimes.

Details

Missing Data Methods: Time-Series Methods and Applications
Type: Book
DOI: https://doi.org/10.1108/S0731-9053(2011)000027B005
ISBN: 978-1-78052-526-6

Keywords

  • Markov switching
  • regimes
  • risk-return trade-off
  • volatility feedback
  • no arbitrage pricing
  • price of regime risk

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