Imai, Susumu; Jain, Neelam; Ching, Andrew - In: Econometrica 77 (2009) 6, pp. 1865-1899
We propose a new methodology for structural estimation of infinite horizon dynamic discrete choice models. We combine the dynamic programming (DP) solution algorithm with the Bayesian Markov chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the...