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Serially correlated variables in dynamic, discrete choice models
Author(s) -
Stinebrickner Todd R.
Publication year - 2000
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.578
Subject(s) - variety (cybernetics) , discrete choice , econometrics , state variable , variable (mathematics) , continuous variable , mathematical economics , computer science , mathematics , mathematical optimization , statistics , mathematical analysis , physics , thermodynamics
This paper discusses the problems that are encountered when dynamic, discrete choice models are specified with continuous, serially correlated state variables. A variety of approximation methods that can deal with these problems is examined, and an empirical example that allows continuous variables to be serially correlated is presented. Copyright © 2000 John Wiley & Sons, Ltd.