Inference in Dynamic Discrete Choice Problems under Local Misspecification

@article{Bugni2016InferenceID,
  title={Inference in Dynamic Discrete Choice Problems under Local Misspecification},
  author={F. Bugni and T. Ura},
  journal={arXiv: Methodology},
  year={2016}
}
  • F. Bugni, T. Ura
  • Published 2016
  • Mathematics, Economics
  • arXiv: Methodology
Dynamic discrete choice models are typically estimated using heavily parametrized econometric frameworks, making them susceptible to model misspecification. This paper investigates how misspecification can affect the results of inference in these models. For tractability reasons, we consider a local misspecification framework in which specification errors are assumed to vanish with the sample size. However, we impose no restrictions on the rate at which these errors vanish. We consider a… Expand

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