Estimation of Dynamic Discrete Choice Models in Continuous Time with an Application to Retail Competition

Peter Arcidiacono, Patrick Bayer, Jason R. Blevins, Paul B. Ellickson

NBER Working Paper No. 18449
Issued in October 2012
NBER Program(s):   IO   TWP

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.

You may purchase this paper on-line in .pdf format from ($5) for electronic delivery.

Information about Free Papers

You should expect a free download if you are a subscriber, a corporate associate of the NBER, a journalist, an employee of the U.S. federal government with a ".GOV" domain name, or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.


This paper was revised on May 7, 2013

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w18449

Users who downloaded this paper also downloaded these:
Rosen and Small w0319 Applied Welfare Economics with Discrete Choice Models
Fang and Wang w16438 Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions
Heckman and Navarro t0316 Dynamic Discrete Choice and Dynamic Treatment Effects
Cooper, Haltiwanger, and Willis w15675 Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application
Glaeser, Kerr, and Kerr w18333 Entrepreneurship and Urban Growth: An Empirical Assessment with Historical Mines
NBER Videos

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us