Paul Scott, Myrto Kalouptsidi, and Eduardo Souza-Rodrigues' paper on dynamic discrete models, forthcoming in the Journal of Econometrics
August 18, 2020
Prevailing approaches to estimating dynamic discrete models have difficulty accommodating endogeneity problems and omitted variables. In the context of single agent models, we show that Euler Equations in Conditional Choice Probabilities (ECCP equations) allow researchers to address these challenges in much the same way they are dealt with in the context of static econometric models: using linear regressions and instrumental variables.
Paul Scott is an Assistant Professor of Economics at NYU Stern.
Read the full paper here.
Prevailing approaches to estimating dynamic discrete models have difficulty accommodating endogeneity problems and omitted variables. In the context of single agent models, we show that Euler Equations in Conditional Choice Probabilities (ECCP equations) allow researchers to address these challenges in much the same way they are dealt with in the context of static econometric models: using linear regressions and instrumental variables.
Paul Scott is an Assistant Professor of Economics at NYU Stern.
Read the full paper here.