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Semiparametric estimation of Markov decision processes with continuous state space
Wednesday 1st February 2012
Journal of Econometrics
Srisuma, S. and Linton, O.
We propose a general two-step estimator for a popular Markov discrete choice model that includes a class of Markovian games with continuous observable state space. Our estimation procedure generalizes the computationally attractive methodology of Pesendorfer and Schmidt-Dengler (2008) that assumed finite observable states. This extension is non-trivial as the policy value functions are solutions to some type II integral equations. We show that the inverse problem is well-posed. We provide a set of primitive conditions to ensure root-T consistent estimation for the finite dimensional structural parameters and the distribution theory for the value functions in a time series framework.
Keywords
C13
C14
C51
Themes
empirical