We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...

We develop a two-step estimator for a class of Markov decision processes with continuous control that is intuitive and simple to implement. Making use of the monotonicity assumption we estimate the expected continuation value functions nonparametrically in the first stage. In the second stage...

We provide necessary and sufficient conditions for the local identification of the finite dimensional parameters in a semiparametric dynamic discrete choice model under additive separability and conditional independence assumption (Rust (1987)). We show that the policy value approach commonly...

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...