Estimation of Dynamic Programming Models with Censored Dependent Variables

42 Pages Posted: 1 Jun 1998

See all articles by Victor Aguirregabiria

Victor Aguirregabiria

University of Toronto - Department of Economics

Abstract

This paper considers the estimation of dynamic structural models where the decision variables are censored. We present and discuss several econometric issues and estimation methods under alternative stochastic structures of the unobservables, different potential sources of censoring, and different characteristics of the dataset (e.g., temporal dimension, frequency of corner solutions, or distribution of duration spells between two consecutive interior solutions). We use a labor demand model with kinked and lump-sum hiring and firing costs to illustrate the econometric problems and estimation methods.

JEL Classification: C34, C15, C63, J23

Suggested Citation

Aguirregabiria, Victor, Estimation of Dynamic Programming Models with Censored Dependent Variables. Available at SSRN: https://ssrn.com/abstract=94144 or http://dx.doi.org/10.2139/ssrn.94144

Victor Aguirregabiria (Contact Author)

University of Toronto - Department of Economics ( email )

150 St. George Street
Toronto, Ontario M5S 3G7
Canada
4169784358 (Phone)

HOME PAGE: http://individual.utoronto.ca/vaguirre/

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