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Econometrics Paper
Estimation of Structural Optimization Models: A Note on Identification
Sorawoot Srisuma
May 2010
Paper No' EM/2010/547:
Full Paper (pdf)

Tags: consistency; identification; optimization models

Bajari, Benkard and Levin (2007) propose an estimation methodology for a broad class of dynamic optimization problems. To carry out their procedure, one needs to select a set of alternative policy functions and compare the implied expected payoffs with that from the data. We show that this can generally lead to objective functions that are not capable of consistently estimating an identified model.