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Identifying Dynamic Discrete Decision Processes
Author(s) -
Magnac Thierry,
Thesmar David
Publication year - 2002
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/1468-0262.00306
Subject(s) - estimator , moment (physics) , econometrics , identification (biology) , nonparametric statistics , constructive , parametric statistics , discrete choice , function (biology) , mathematical optimization , rust (programming language) , bellman equation , mathematics , computer science , statistics , process (computing) , botany , physics , classical mechanics , evolutionary biology , biology , programming language , operating system
In this paper, we analyse the non parametric identification of dynamic discrete choice models using short-panel data. Our identification methodology is based on the ideas explored in the seminal paper of Hotz and Miller (1993) that Bellman equations can be interpreted as moment conditions. We derive the exact degree of underidentification of these models both in the case where random shocks on preferences are independent over time and in a case with correlated fixed effects. We investigate the necessity and power of various identifying restrictions.