Economics Stack Exchange
Economics Stack Exchange

Questions tagged [structural-estimation]

19 questions
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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 actually be called structural estimation. Sorry I…
jmbejara
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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 for estimating dynamic games with both…
philE
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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 $P$ = price $Q$ = quantity $I$ = income $R$ =…
Christopher
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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 as references or papers that discuss it. Here's…
Michael A
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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 $$dP_t=mP_tdt+s P_t dW_t.$$ Denoting the…
Alex
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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 \\ \\ a_t = -\alpha r_t + \varepsilon_3 \\ \\ r_t =…
Mich55
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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 move individual parameters by just a bit and…
EconRider
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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 is that there is an idiosyncratic utility…
RandomBear
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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 clarify the differences and similarities between…
jmbejara
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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 containing firm's land holding information, so I…
zlqs1985
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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 simulate policy Think about identification/data Estimate…
emeryville
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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 observables). I understand there are several…
Mich55
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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 of the equilibrium relations between winning bids and…
ColorStatistics
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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 standard errors and t-statistics for $\psi$? Can…
Emmanuel Ameyaw
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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 based on statistical estimation wherein it is…
Dayne
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