Estimation of structural optimization models: a note on identification
Srisuma, S.
(2010).
Estimation of structural optimization models: a note on identification.
(Econometrics EM/2010/547).
Suntory and Toyota International Centres for Economics and Related Disciplines.
Bajari, Benkard and Levin (2007) propose an estimation methodology for a broad class of dynamic optimization problems. To carry out their procedure, one needs to select a set of alternative policy functions and compare the implied expected payoffs with that from the data. We show that this can generally lead to objective functions that are not capable of consistently estimating an identified model.
| Item Type | Report (Technical Report) |
|---|---|
| Copyright holders | © 2010 The Author |
| Departments | LSE > Research Centres > STICERD |
| Date Deposited | 22 Jul 2014 |
| URI | https://researchonline.lse.ac.uk/id/eprint/58071 |
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