structtoolbox
DESCRIPTION
Toolbox for the illustration of reliable structural estimation.TRANSCRIPT
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Estimate Responsibly
Reliable Estimation of Structural Economic Models
Philipp Eisenhauer
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Scientically well-posed models make explicit the assump-
tions used by analysts regarding preferences, technology,
and information available to agents, the constraints under
which they operate, and the rules of interaction among
agents in market and social settings. (Heckman, 2008)
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StructuralEconometrics
Programmer
Economist
Econometrician
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Economist
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Agent Behavior
I Objectives
I Preferences
I Constraints
I Institutional
I Information
Economic Environment
I Equilibrium
I Shocks
I Interactions
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Michael P. Keane, Petra E. Todd, and Kenneth I. Wolpin (2011).
The Structural Estimation of Behavioral Models: Discrete Choice
Dynamic Programming Methods and Applications. Handbook of
Labor Economics, Elsevier.
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Agent Decision Problem
Vt(Ωit) = maxdit
E
[τ=T∑τ=t
δτ−t [U1
iτdiτ + U0
iτ (1− d1τ )]
∣∣∣∣∣Ωiτ
]
Uit = cit + α(1− dit) with αit = κitβκ + βnnit + εit
cit = yit + witdit − (π − τ)nitdit
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Labor Market
wit = zitγ1 + γ2hit + ηit ,
where hit =∑τ=t−1
τ=1diτ .
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Shock Structure
εitηit
∼ N
0
0
,
σ2ε σε,η
σε,η σ2η
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Econometrician
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Conguration Files
structToolbox-estimation structToolbox-simulation
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Conguration Files
I Initialization
I Optimization
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Exploring the Commands
@heracles:$ structToolbox-simulation -h
@heracles:$ structToolbox-simulation -init init.ini
@heracles:$ structToolbox-estimation -h
@heracles:$ structToolbox-estimation -init init.ini
@heracles:$ structToolbox-cleanup
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Programmer
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Economy
Agents Parameters
Decision
Tree
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Tree Class
Class that captures the institutional constraints.
Methods
I addNode
I getNodes
Attributes
I nodes
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Parameter Class
Class for the parametrization of the economic environment.
Methods
I addParameters
I getParameters
Attributes
I paraObjs
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Agent Class
Class that describes the agent behavior in the economic
environment.
Methods
I step
I _evaluateNodes
Attributes
I attributes
I parasObj
I treeObj
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Economy Class
Class that collects all economy wide information.
Methods
I simulate
Attributes
I attributes
I parasObj
I treeObj
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Additional Topics
I High Performance Computing
Replacement of selected Python functions by Fortran counter-
parts and use of mpi4py for parallel evaluation of likelihood
function.
I Automatic Build Process
Cleanup and compilation of Fortan routines using waf.
I Unit Testing
Automatic execution of unit testing routines during build process
using nosetest.
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Final Remarks
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Test of Reliability
Fit structural model to
observed data.ψobs
Simulate synthetic dataset
using estimates.
Fit structural model to
synthetic data.ψsyn
Compare
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Transparency, Recomputability, and Extendibility
http://www.policy-lab.org/teaching/struct-toolbox
I Documentation
I Source Code
I Test Suite
I Download
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Philipp Eisenhauer
Mail [email protected]
Web http://www.policy-lab.org/peisenha
Repository https://github.com/peisenha
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Appendix
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References
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Heckman, J. J. (2008). Econometric Causality. International
Statistical Review, 76(1):127.
Keane, M. P., Todd, P. E., and Wolpin, K. I. (2011). The
Structural Estimation of Behavioral Models: Discrete Choice
Dynamic Programming Methods and Applications. In
Ashenfelter, O. and Card, D., editors, Hanbook of Labor
Economics, volume 4A, pages 331461. Elsevier Science.