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Estimation of structural optimization models: a note on identification

Author

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  • Srisuma, Sorawoot

Abstract

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.

Suggested Citation

  • Srisuma, Sorawoot, 2010. "Estimation of structural optimization models: a note on identification," LSE Research Online Documents on Economics 58071, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:58071
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    File URL: http://eprints.lse.ac.uk/58071/
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    References listed on IDEAS

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    1. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, September.
    2. Patrick Bajari & C. Lanier Benkard & Jonathan Levin, 2007. "Estimating Dynamic Models of Imperfect Competition," Econometrica, Econometric Society, vol. 75(5), pages 1331-1370, September.
    3. Khan, Shakeeb & Tamer, Elie, 2009. "Inference on endogenously censored regression models using conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 152(2), pages 104-119, October.
    4. Carlos Daniel Santos, 2009. "Recovering the Sunk Costs of R&D: the Moulds Industry Case," CEP Discussion Papers dp0958, Centre for Economic Performance, LSE.
    5. Noton, Carlos, 2016. "Structural estimation of price adjustment costs in the European car market," International Journal of Industrial Organization, Elsevier, vol. 49(C), pages 105-147.
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    Cited by:

    1. Blonigen, Bruce A. & Knittel, Christopher R. & Soderbery, Anson, 2017. "Keeping it fresh: Strategic product redesigns and welfare," International Journal of Industrial Organization, Elsevier, vol. 53(C), pages 170-214.
    2. Jason R. Blevins, 2016. "Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 773-804, August.

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    More about this item

    Keywords

    consistency; identification; optimization models;
    All these keywords.

    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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