Questions tagged [structural-estimation]

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What is structural estimation compared to reduced form estimation?

I've heard a lot of definitions given for structural estimation. But it's never seemed entirely clear to me. Some times I've heard that what one person might call "reduced form" estimation should ...
jmbejara's user avatar
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8 votes
1 answer
379 views

Identification with BBL

In the last few years, the estimator proposed by Bajari, Benkard, and Levin ('07) for dynamic games has been gaining popularity. It is relatively straight forward and is one of the only viable options ...
philE's user avatar
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6 votes
1 answer
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Hausman Test for Simultaneous Equations

Given a set of structural equations: Demand Function: $$Q_1 = \alpha_0 + \alpha_1 P_t + \alpha_2 I_t + \alpha_3 R_t + \mu_{1, t}$$ Supply Function: $$Q = \beta_0 + \beta_1 P_t + \mu_{2, t}$$ Where $...
Christopher's user avatar
6 votes
1 answer
223 views

How do I begin to approach this dynamic discrete choice model?

I'm working through an old problem set (that sadly I don't have solutions for) and I got stuck. It is a dynamic model of entrepreneurship and invention. I'm looking for guidance on this model as well ...
Michael A's user avatar
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5 votes
2 answers
47 views

Continuous logit framework

I am reading Dupuy & Galichon (2014), which extend the estimation of matching model in Choo & Siow (2006) to continuous types. The way they build the continuous logit model is based on the ...
Alalalalaki's user avatar
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3 votes
1 answer
138 views

Convert DSGE paper to structural econometrics, anything to be noted?

I'm intent to bring some insights of a DSGE paper to a structural econometric model. The paper is Liu, Wang and Zha's 2013 Econometrica paper on land collateral channel. Now I have some good datasets ...
zlqs1985's user avatar
  • 131
3 votes
1 answer
69 views

Binary-continuous choice model in empirical consumer choices

There are quite a lot empirical research based on discrete choice models, in which the consumer selects one of J alternative goods to maximize her indirect utility. The key assumption of these models ...
RandomBear's user avatar
3 votes
1 answer
72 views

Explaining structural v. reduced-form

Consider your audience is Econ 101 students. You want to explain structural models and reduced-form models as easily as possible. What prime examples (e.g., seminal paper reference) would you give to ...
Frank Swanton's user avatar
3 votes
0 answers
55 views

Structural Estimation, Simulations, and Initial Values

I want to estimate model parameters and fear about the impact of initial values of simulations. Short model overview Consider a firm producing a homogeneous output good whose output price, $P_t$, is $...
Alex's user avatar
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3 votes
0 answers
73 views

MLE on Structural VAR / DSGE

I have a simple DSGE model that I wish to fit using data. The model is of the form: \begin{gather} y_t = -\lambda r_t + \theta a_t + \varepsilon_1 \\ \\ \pi_t = \pi_{t-1} + w y_t + \varepsilon_2 \\ \\ ...
Mich55's user avatar
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3 votes
0 answers
206 views

Bootstrapping standard errors in SMM estimation

I have estimated a number of key parameters in a model by the Simulated Method of Moments. So far, I have computed asymptotic standard errors (that rely on computing numerical derivatives, where we ...
EconRider's user avatar
3 votes
0 answers
180 views

Structural estimation

My understanding of structural estimation follows the lines beautifully lectured by Christophe Taber (U. of Wisconsin): Identify the policy question to be answered Write down a model that can ...
emeryville's user avatar
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3 votes
0 answers
109 views

Differences between LATE and Heckman Selection

I have heard that a paper by Heckman and Vytlacil demonstrate comparisons between nonparametric Heckman selection (NP Heckit) and the LATE (local average treatment effect) framework. Could someone ...
jmbejara's user avatar
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2 votes
1 answer
106 views

How to get statistics for structural parameters after estimating a reduced form model

Let say I have some structural model $y_t = \alpha + (1+\psi)x_t$. I estimate the model $y_t = \alpha + \beta x_t + e_t$ using OLS. I can back out the structural parameter $\psi$ by hand. How about ...
Emmanuel Ameyaw's user avatar
2 votes
1 answer
64 views

Structural Modelling of Expectations/Beliefs

I'm trying to build a structural model explaining the job search process by the job-seeker. One of the crucial component of job search, that i want to model, is the expectation about the employer. So ...
Sher Afghan's user avatar
2 votes
1 answer
45 views

Economic Reasoning for Structural change vs Cyclical change

Often when there is an episode of low output growth, a debate takes place: Whether the downturn/recession is due to structural factors or is it cyclical. I understand that the analysis is largely ...
Dayne's user avatar
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2 votes
0 answers
85 views

DSGE Bayesian estimation - Sum of Squares equivalence

Say I have a DSGE that produces several observable outputs (e.g. GDP, inflation, interest rate), and I want to estimate this model using empirical data (in the form of a set of time series of the ...
Mich55's user avatar
  • 111
2 votes
0 answers
62 views

Difference between a structural and a causal model in economics

I was reading this sentence "As we discuss later in Section 8, IO economists have developed a variety of structural models of auction bid data. These models have been used to derive causal models ...
ColorStatistics's user avatar
1 vote
0 answers
47 views

What is a very very famous example of structural estimation?

I took a behavioral econ class and learnt the "structural estimation" of risk-aversion parameter. Later some friends told me that what I learnt is too simple when I was bragging about my ...
dodo's user avatar
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1 vote
0 answers
29 views

How to compute standard errors for Blanchard-Quah-restricted SVAR?

People tell me that the way of bootstrapping standard errors in the original paper is incorrect, but then how should I do it? Is there a convention of how to compute standard errors for Blanchard-...
J Li's user avatar
  • 291
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0 answers
23 views

Estimation of learning model with finite horizon forward-looking individuals

I am stuck with the estimation of learning model where individuals are forward-looking in a finite horizon. Specially, a user is watching a TV program containing many episodes, and he doesn't know the ...
S.X's user avatar
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0 answers
50 views

Structural estimation based on simulated data

I wrote down a structural demand model, simulated data for exogenous variables (product features and consumer characteristics), and generated data for endogenous variables (observed consumption ...
RandomBear's user avatar
0 votes
1 answer
143 views

Can a CES parameter be negative?

I estimated the CES function (https://en.wikipedia.org/wiki/Constant_elasticity_of_substitution) using national accounts data for France. I got (using notation in wikipedia): a = 1.19 r = -0.48 so ...
indigo_luc's user avatar