Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/217125 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 9 [Issue:] 3 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2018 [Pages:] 1153-1194
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
Most empirical and theoretical econometric studies of dynamic discrete choice models assume the discount factor to be known. We show the knowledge of the discount factor is not necessary to identify parts, or even all, of the payoff function. We show the discount factor can be generically identified jointly with the payoff parameters. On the other hand, it is known the payoff function cannot be nonparametrically identified without any a priori restrictions. Our identification of the discount factor is robust to any normalization choice on the payoff parameters. In IO applications, normalizations are usually made on switching costs, such as entry costs and scrap values. We also show that switching costs can be nonparametrically identified, in closed-form, independently of the discount factor and other parts of the payoff function. Our identification strategies are constructive. They lead to easy to compute estimands that are global solutions. We illustrate with a Monte Carlo study and the dataset used in Ryan ().
Schlagwörter: 
Discount factor
dynamic discrete choice problem
identification
estimation
switching costs
JEL: 
C14
C25
C51
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
408.64 kB





Publikationen in EconStor sind urheberrechtlich geschützt.