NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Jason Blevins

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Working Papers

October 2012Estimation of Dynamic Discrete Choice Models in Continuous Time with an Application to Retail Competition
with Peter Arcidiacono, Patrick Bayer, Paul B. Ellickson: w18449
This paper provides a method for estimating and solving dynamic discrete choice models in a continuous time framework that is computationally light. The method is particularly useful in dynamic games. In the proposed framework, players face a standard dynamic discrete choice problem at decision times that occur stochastically. The resulting stochastic-sequential structure naturally admits the use of CCP methods for estimation and makes it possible to compute counterfactual simulations for relatively high-dimensional games. We apply our techniques to examine the impact of Walmart’s entry into the retail grocery industry, showing that even the threat of entry by Walmart has a substantial effect on market structure.

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