We study the asymptotic properties of a class of estimators of the structural parameters in dynamic discrete choice games. We consider K-stage policy iteration (PI) estimators, where K denotes the number of policy iterations employed in the estimation. This class nests several estimators...

This paper develops a method to flexibly adapt interpolation grids of value function approximations in the estimation of dynamic models using either NFXP (Rust, 1987) or MPEC (Su and Judd, 2012). Since MPEC requires the grid structure for the value function approximation to be hard-coded into...

We study a fixed-T panel data logit model for ordered outcomes that accommodates fixed effects and state dependence. We provide identification results for the auto-regressive parameter, regression coefficients, and the threshold parameters in this model. Our results require only four...

We study the identification of dynamic discrete choice models with hyperbolic discounting using a terminating action. We provide novel identification results for both sophisticated and naive agents’ discount factors and their utilities in a finite horizon framework under the assumption of a...