Using Subjective Expectations Data to Allow for Unobserved Heterogeneity in Hotz-Miller Estimation Strategies

Using Subjective Expectations Data to Allow for Unobserved Heterogeneity in Hotz-Miller Estimation Strategies

We introduce a novel approach to allow for unobserved heterogeneity in two-step structural estimation strategies for discrete choice dynamic programming models (i.e strategies that avoid full solution methods). We contribute to the literature by adopting a …xed e¤ects approach: rather than identifying an unobserved heterogeneity distribution, we actually reveal the true unobserved type of each ...

Observing Unobserved Heterogeneity: Using Process Data to Enhance Choice Models

“ Demand estimation with unobserved choice set heterogeneity ”

We present a method to estimate demand parameters in the presence of unobserved choice set heterogeneity that is related to Chamberlain (1980)'s Fixed Effect logit. We rely on assumptions about the stability or evolution of choice sets over at least two choice occasions to difference out unobserved-to-the-econometrician choice sets and to consistently estimate preference parameters. We present ...

Count Data Models with Correlated Unobserved Heterogeneity

As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Non-linear instrumental variables estimation of an exponential model under conditional moment restrictions is one of the proposed remedies. This approach is extended here by fully exploiting the model assumptions and thereby improving efficie...

Identification and Estimation of Auction Models with Unobserved Heterogeneity

In many procurement auctions, the bidders’ unobserved costs depend both on a common shock and on idiosyncratic private information. Assuming a multiplicative structure, I derive sufficient conditions under which the model is identified and propose a nonparametric estimation procedure which results in uniformly consistent estimators of the cost components’ distributions. The estimation procedure...