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econ.EM2026
Sequential Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity
Ertian Chen, Hiroyuki Kasahara, Katsumi Shimotsu
Unobserved heterogeneity is empirically central in dynamic discrete choice models but computationally costly to incorporate: estimation requires repeatedly solving fixed-point equa…
econ.EM2025
Robust Structural Estimation under Misspecified Latent-State Dynamics
Ertian Chen
Estimation and counterfactual analysis in dynamic structural models rely on assumptions about the dynamic process of latent variables, which may be misspecified. We propose a frame…
econ.EM2025
Model-Adaptive Approach to Dynamic Discrete Choice Models with Large State Spaces
Ertian Chen
Estimation and counterfactual experiments in dynamic discrete choice models with large state spaces pose computational difficulties. This paper proposes a model-adaptive approach,…