Dynamic discrete choice and dynamic treatment effects

Dynamic Discrete Choice and Dynamic Treatment Effects

Dynamic Discrete Choice and Dynamic Treatment Effects This paper considers semiparametric identiÞcation of structural dynamic discrete choice models and models for dynamic treatment effects. Time to treatment and counterfactual outcomes associated with treatment times are jointly analyzed. We examine the implicit assumptions of the dynamic treatment model using the structural model as a benchma...

Socio-Dynamic Discrete Choice: Theory and Application

Heterogeneity in dynamic discrete choice models

We consider dynamic discrete choice models with heterogeneity in both the levels parameter and the state dependence parameter. We …rst analyse the purchase of full fat milk using a long consumer panel (T > 100) on many households. The large T nature of the panel allows us to consistently estimate the parameters of each household separately. This analysis indicates strongly that the levels and T...

Bayesian Estimation of Dynamic Discrete Choice Models

We propose a new estimator for dynamic programming discrete choice models. Our estimation method combines the Dynamic Programming algorithm with a Bayesian Markov Chain Monte Carlo algorithm into one single Markov Chain algorithm that solves the dynamic programming problem and estimates the parameters at the same time. Our key innovation is that during each solution-estimation iteration both th...

Identication of Structural Dynamic Discrete Choice Models

This paper presents new identi…cation results for the class of structural dynamic discrete choice models that are built upon the framework of the structural discrete Markov decision processes proposed by Rust (1994). We demonstrate how to semiparametrically identify the deep structural parameters of interest in the case where utility function of one choice in the model is parametric but the dis...