Object Oriented (Dynamic) Programming: Closing the “Structural” Estimation Coding Gap

Ferrall, Christopher

doi:10.1007/s10614-022-10280-4

Cited by 1 publication

(2 citation statements)

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“…This paper's modest goal is to replicate MLE estimates in Rust (1987) in order to demonstrate the software package niqlow Documentation (n.d.) described in Ferrall (2022). The replication is based not on bespoke code but rather high‐level statements in niqlow.…”

Section: Introductionmentioning

confidence: 99%

“…Müller and Reich (2021) use the original data and estimate the original model but use a different technique and do not report agreement with the original maximum likelihood estimation. This paper's modest goal is to replicate MLE estimates in Rust (1987) in order to demonstrate the software package niqlow Documentation (n.d.) described in Ferrall (2022). The replication is based not on bespoke code but rather high-level statements in niqlow.…”

Section: Introductionmentioning

confidence: 99%

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Was Harold Zurcher myopic after all? Replicating Rust's engine replacement estimates

Ferrall

2023

J of Applied Econometrics

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SummaryRust (1987) studies the dynamic decision making under uncertainty made by Harold Zurcher to replace bus engines. In the decades since, the model has been applied, extended, and used as an example multiple times. This paper resolves some discrepancies in how data were transformed in the original and subsequent archives. Using a package that standardizes computation of estimated dynamic programming, it replicates the 12 original maximum likelihood estimates and the six main hypothesis tests of whether Zurcher's decisions were myopic or not. The discrepancy in the data processing results in modest differences in estimates and log‐likelihoods, but the p‐values are essentially the same because the differences are very similar across values of the discount factor in the tests.

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