Research Seminar, Fedor Iskhakov (University of New South Wales)

On Thursday, April 16 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF held the Research Seminar.
Speaker: Fedor Iskhakov (University of New South Wales)
Theme: "Estimating Discrete-Continuous Choice Models: Endogenous Grid Method with Taste Shocks"

Abstract:  We present a novel approach for structural estimation of lifecycle models with discrete and continuous choices which is based on the endogenous grid method (EGM) and nested fixed point maximum likelihood (NFXP). We show how an overcomplicated traditional solution of discrete-continuous choice models which in general includes kinky value functions and discontinuous policy functions, can be simplified by adding extreme value taste shocks to the values of the discrete alternatives. These shocks can be interpreted either as structural noise or as a perturbation that can replicate the original model arbitrary closely. A set of Monte Carlo experiments demonstrate reliability and efficiency of our estimation approach.

Everyone interested is welcome to attend!

Pass can be ordered by:
Phone: (495)772-95-90*26090
e-mail: vzheleznov@hse.ru
contact: Zheleznov Slava 

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