Practical Methods for Estimation of Dynamic Discrete Choice Models

Posted: 31 Aug 2011

See all articles by Peter Arcidiacono

Peter Arcidiacono

Duke University - Department of Economics; National Bureau of Economic Research (NBER)

Paul B. Ellickson

University of Rochester - Simon Business School

Date Written: September 2011

Abstract

Many discrete decisions are made with an eye toward how they will affect future outcomes. Formulating and estimating the underlying models that generate these decisions is difficult. Conditional choice probability (CCP) estimators often provide simpler ways to estimate dynamic discrete choice problems. Recent work shows how to frame dynamic discrete choice problems in a way that is conducive to CCP estimation and demonstrates that CCP estimators can be adapted to handle rich patterns of unobserved state variables.

Suggested Citation

Arcidiacono, Peter and Ellickson, Paul B., Practical Methods for Estimation of Dynamic Discrete Choice Models (September 2011). Annual Review of Economics, Vol. 3, pp. 363-394, 2011, Available at SSRN: https://ssrn.com/abstract=1920108 or http://dx.doi.org/10.1146/annurev-economics-111809-125038

Peter Arcidiacono (Contact Author)

Duke University - Department of Economics ( email )

213 Social Sciences Building
Box 90097
Durham, NC 27708-0204
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Paul B. Ellickson

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

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