  Dynamic Discrete Choice Models (DDCMs) are important in the structural
estimation literature. Since the structural errors are practically always
continuous and unbounded in nature, researchers often use the expected value
function. The idea to solve for the expected value function made solution more
practical and estimation feasible. However, as we show in this paper, the
expected value function is impractical compared to an alternative: the
integrated (ex ante) value function. We provide brief descriptions of the
inefficacy of the former, and benchmarks on actual problems with varying
cardinality of the state space and number of decisions. Though the two
approaches solve the same problem in theory, the benchmarks support the claim
that the integrated value function is preferred in practice.
