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Infinite Horizon Dynamic Discrete Choice Models

This video extends our dynamic discrete choice modeling series to the infinite horizon case, introducing value function iteration and the nested fixed point (NFXP) algorithm. We build on the finite horizon framework from the previous video to show how backward recursion adapts when the time horizon extends indefinitely. Slides used in the video are available here: https://raw.githack.com/tyleransom/st... Source code for the slides is here: https://github.com/tyleransom/structu... Topics Covered: How infinite horizon models differ from finite horizon: no terminal period to start backward recursion from The conditional value function now has V appearing on both sides of the equation, requiring a fixed point solution Value function iteration: guess initial values, substitute to generate updates, and iterate until convergence The nested fixed point (NFXP) algorithm: inner loop solves the dynamic program, outer loop maximizes the likelihood Why infinite horizons matter: many real-world decisions (equipment replacement, job changes, education) have no natural end point Setting up for John Rust's seminal 1987 bus engine replacement model in the next video Tyler Ransom is an Associate Professor of Economics at the University of Oklahoma. Subscribe for more videos on data science, econometrics, and research methods! #Econometrics #StructuralEstimation #DynamicProgramming #Economics #DataScience #Research #GraduateEconomics #AppliedEconometrics #ComputationalEconomics #MachineLearning #dynamicdiscretechoice #infinitehorizonmodels #valuefunctioniteration #nestedfixedpointalgorithm #NFXP #JohnRust #Bellmanequation #contractionmapping #fixedpointiteration #structuralestimation #dynamicprogramming #econometrics #economics #structuraleconometrics #discretechoicemodels #maximumlikelihoodestimation #computationaleconomics #backwardinduction #statetransitions #continuationvalue #valuefunction #policyfunctions #empiricalindustrialorganization #appliedeconometrics #graduateeconomics #econometricmethods #busenginereplacement #HaroldZurcher #Rustmodel #dynamicoptimization #Eulerconstant #extremevaluedistribution #TypeIEV #choiceprobabilities #likelihoodfunction #nonlinearoptimization #LBFGS #convergencecriteria #numericalmethods #economicmodeling #researchmethods #microeconometrics #appliedmicroeconomics #quantitativemethods #datascience #statisticalmodeling #economicresearch #PhDeconomics #econometrictheory #empiricalmethods #structuralmodeling #causalinference #identification #estimationmethods #computationalmethods #algorithmdesign #numericaloptimization #economicdynamics #intertemporalchoice #dynamicmodels #sequentialdecisions #Markovdecisionprocess #reinforcementlearning #optimalcontrol #stochasticdynamicprogramming