We derive marginal conditions of optimality (i.e., Euler equations) for a general class of Dynamic Discrete Choice (DDC) structural models. These conditions can be used to estimate structural parameters in these models without having to solve for or approximate value functions. This result...

Empirically studying dynamic competition in oligopoly markets requires dealing with large states spaces and tackling difficult computational problems, while handling heterogeneity and multiple equilibria. In this paper, we discuss some of the ways recent work in Industrial Organization has dealt...

Sample selection problems are pervasive when working with micro economic models and datasets of individuals, households or firms. During the last three decades, there have been very significant developments in this area of econometrics. Different type of models have been proposed and used in...

This paper studies the identification of structural parameters in dynamic games when we replace the assumption of Markov Perfect Equilibrium (MPE) with weaker conditions such as rational behavior and rationalizability. The identification of players' time discount factors is of especial interest....

This paper discusses the main econometric issues in the identification and estimation of production functions, and reviews recent methods. The main emphasis of the paper is in explaining the role of different identifying assumptions used in alternative estimation methods.

This paper studies the contribution of demand, costs, and strategic factors to the adoption of hub-and-spoke networks in the US airline industry. Our results are based on the estimation of a dynamic oligopoly game of network competition that incorporates three groups of factors that may explain...

This document describes program code for the solution and estimation of dynamic discrete games of incomplete information using the Nested Pseudo Likelihood (NPL) method in Aguirregabiria and Mira (2007). The code is illustrated using a dynamic game of store location by retail chains, and actual...

This document is a supplement of the paper "Dynamic Spatial Competition Between Multi-Store Firms" by Aguirregabiria and Vicentini (2007). It describes in detail the library of programs and procedures, in GAUSS language, that is used in that paper. The program computes an equilibrium of a...