Duality in Dynamic Discrete Choice Models
Duality in Dynamic Discrete Choice Models
复制标题
动态离散选择模型中的二元性
DOI：
10.2139/ssrn.2700773
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
M. Shum
中科院分区：
文献类型：
--
作者：
K. Chiong;Alfred Galichon;M. Shum
利用凸分析的结果，我们研究了一种新的方法来识别和估计离散选择模型，我们称之为质量传递方法。我们证明了这些模型中的条件选择概率和选择特定收益在共轭对偶意义上是相关的，并且识别问题是一个质量传递问题。在此基础上，我们提出了一种新的两步估计方法；有趣的是，我们估计器的第一步涉及解决一个线性规划，该规划与Shapley和Shubik（1971）的经典分配（双方匹配）博弈相同。凸解析工具在动态离散选择模型中的应用以及与双边匹配模型的联系在文献中是新的。蒙特卡罗结果证明了该估计器的良好性能，并基于Rust（1987）的公共汽车发动机更换模型提供了一个经验应用。
Using results from Convex Analysis, we investigate a novel approach to identification and estimation of discrete‐choice models that we call the mass transport approach. We show that the conditional choice probabilities and the choice‐specific payoffs in these models are related in the sense of conjugate duality, and that the identification problem is a mass transport problem. Based on this, we propose a new two‐step estimator for these models; interestingly, the first step of our estimator involves solving a linear program that is identical to the classic assignment (two‐sided matching) game of Shapley and Shubik (1971). The application of convex‐analytic tools to dynamic discrete‐choice models and the connection with two‐sided matching models is new in the literature. Monte Carlo results demonstrate the good performance of this estimator, and we provide an empirical application based on Rust's (1987) bus engine replacement model.