Solving dynamic discrete choice models using smoothing and sieve methods

DOI10.1016/J.JECONOM.2020.02.007MaRDI QIDQ2043237zbMATH OpenOpenAlexFDO

Authors Dennis Kristensen, Patrick K. Mogensen, Jong Myun Moon, Bertel Schjerning

Publication date 30 July 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.05232

zbMATH Keywords

dynamic discrete choiceMonte Carlonumerical solutionsieves

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(9)

• Obtaining analytic derivatives for a popular discrete-choice dynamic programming model
• A numerically stable quadrature procedure for the one-factor random-component discrete choice model
• A Comment on “Using Randomization to Break the Curse of Dimensionality”
• Semiparametric Bayesian estimation of dynamic discrete choice models
• Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods
• Efficient estimation of structural models via sieves
• Faster estimation of dynamic discrete choice models using index invertibility
• Dynamic programs on partially ordered sets
• Nonlinear Monte Carlo methods with polynomial runtime for Bellman equations of discrete time high-dimensional stochastic optimal control problems

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