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Identification Of Dynamic Discrete Choice Models With Hyperbolic Discounting Using A Terminating Action
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Book Synopsis Identification of Dynamic Discrete Choice Models with Hyperbolic Discounting Using a Terminating Action by : Chao Wang
Download or read book Identification of Dynamic Discrete Choice Models with Hyperbolic Discounting Using a Terminating Action written by Chao Wang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Comment on “Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting” by Hanming Fang and Yang Wang by : Jaap H. Abbring
Download or read book A Comment on “Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting” by Hanming Fang and Yang Wang written by Jaap H. Abbring and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fang and Wang's (2015) Proposition 2 claims generic identification of a dynamic discrete choice model with hyperbolic discounting under exclusion restrictions. We note that Proposition 2 uses a definition of “generic” that does not preclude that a generically identified model is nowhere identified. We provide two examples of models that are generically identified under this definition, but that are, respectively, everywhere and nowhere identified. We then show that the proof of Proposition 2 is incorrect and incomplete. We conclude that Proposition 2 has no implications for identification of the dynamic discrete choice model and suggest alternative approaches to its identification.
Book Synopsis Identifying the Discount Factor in Dynamic Discrete Choice Models by : Jaap H. Abbring
Download or read book Identifying the Discount Factor in Dynamic Discrete Choice Models written by Jaap H. Abbring and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The identification of the discount factor in dynamic discrete models is important for counterfactual analysis, but hard. Existing approaches either take the discount factor to be known or rely on high level exclusion restrictions that are difficult to interpret and hard to satisfy in applications, in particular in industrial organization. We provide identification results under an exclusion restriction on primitive utility that is more directly useful to applied researchers. We also show that our and existing exclusion restrictions limit the choice and state transition probability data in different ways; that is, they give the model nontrivial and distinct empirical content.
Book Synopsis Identification of Dynamic Discrete-continuous Choice Models, with an Application to Consumption-savings-retirement by : Matthew R. Levy
Download or read book Identification of Dynamic Discrete-continuous Choice Models, with an Application to Consumption-savings-retirement written by Matthew R. Levy and published by . This book was released on 2021 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the non-parametric identification of the discount factor and utility function in the class of dynamic discrete-continuous choice (DDCC) models. In contrast to the discrete-only model we show the discount factor is identified. Our results further highlight why Euler equation estimation approaches that ignore agents' discrete choices are inconsistent. We estimate utility and discount factors for a consumption-savings-retirement choice problem using the Panel Study of Income Dynamics (PSID). We show that the relative risk aversion parameter and the intertemporal elasticity of substitution are separately identified, and that the latter varies across agents due to the wealth-dependence of the surplus from the discrete choice. This surplus also implies that the value function may be locally convex in wealth, and we find that a simulated Universal Basic Income (UBI) policy counterintuitively benefits wealthier working households more than poorer ones due to this effect.
Book Synopsis Identification of Counterfactuals in Dynamic Discrete Choice Models by : Myrto Kalouptsidi
Download or read book Identification of Counterfactuals in Dynamic Discrete Choice Models written by Myrto Kalouptsidi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic discrete choice models (DDC) are not identified nonparametrically. However, the non-identification of DDC models does not necessarily imply non-identification of counterfactuals of interest. Using a novel approach that can accommodate both nonparametric and restricted payoff functions, we provide necessary and sufficient conditions for the identification of counterfactual behavior and welfare for a broad class of counterfactuals. The conditions are simple to check and can be applied to virtually all counterfactuals in the DDC literature. To explore the robustness of counterfactual results to model restrictions in practice, we consider a numerical example of a monopolist's entry problem, as well as an empirical model of agricultural land use. In each case, we provide examples of both identified and non-identified counterfactuals of interest.
Book Synopsis Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models by : Victor Aguirregabiria
Download or read book Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models written by Victor Aguirregabiria and published by . This book was released on 2021 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: In nonlinear panel data models, fixed effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. The common argument is that the identification of AMEs requires knowledge of the distribution of unobserved heterogeneity, but this distribution is not identified in a fixed effects model with a short panel. In this paper, we derive identification results that contradict this argument. In a panel data dynamic logic model, and for T as small as four, we prove the point identification of different AMEs, including causal effects of changes in the lagged dependent variable or in the duration in last choice. Our proofs are constructive and provide simple closed-form expressions for the AMEs in terms of probabilities of choice histories. We illustrate our results using Monte Carlo experiments and with an empirical application of a dynamic structural model of consumer brand choice with state dependence.
Book Synopsis Identification of Counterfactuals and Payoffs in Dynamic Discrete Choice with an Application to Land Use by : Myrto Kalouptsidi
Download or read book Identification of Counterfactuals and Payoffs in Dynamic Discrete Choice with an Application to Land Use written by Myrto Kalouptsidi and published by . This book was released on 2015 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic discrete choice models are non-parametrically not identified without restrictions on payoff functions, yet counterfactuals may be identified even when payoffs are not. We provide necessary and sufficient conditions for the identification of a wide range of counterfactuals for models with nonparametric payoffs, as well as for commonly used parametric functions, and we obtain both positive and negative results. We show that access to extra data of asset resale prices (when applicable) can solve non-identifiability of both payoffs and counterfactuals. The theoretical findings are illustrated empirically in the context of agricultural land use. First, we provide identification results for models with unobserved market-level state variables. Then, using a unique spatial dataset of land use choices and land resale prices, we estimate the model and investigate two policy counterfactuals: long run land use elasticity (identified) and a fertilizer tax (not identified, affected dramatically by restrictions).
Book Synopsis Dynamic Discrete Choice and Dynamic Treatment Effects by : James Joseph Heckman
Download or read book Dynamic Discrete Choice and Dynamic Treatment Effects written by James Joseph Heckman and published by . This book was released on 2005 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers semiparametric identification of structural dynamic discrete choice models and models for dynamic treatment effects. Time to treatment and counterfactual outcomes associated with treatment times are jointly analyzed. We examine the implicit assumptions of the dynamic treatment model using the structural model as a benchmark. For the structural model we show the gains from using cross equation restrictions connecting choices to associated measurements and outcomes. In the dynamic discrete choice model, we identify both subjective and objective outcomes, distinguishing ex post and ex ante outcomes. We show how to identify agent information sets
Book Synopsis Discrete-continuous Dynamic Choice Models: Identification and Conditional Choice Probability Estimation by : Christophe Alain Bruneel-Zupanc
Download or read book Discrete-continuous Dynamic Choice Models: Identification and Conditional Choice Probability Estimation written by Christophe Alain Bruneel-Zupanc and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Joint Analysis of the Discount Factor and Payoff Parameters in Dynamic Discrete Choice Models by : Tatiana Komarova
Download or read book Joint Analysis of the Discount Factor and Payoff Parameters in Dynamic Discrete Choice Models written by Tatiana Komarova and published by . This book was released on 2017 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 all, of the payoff function. We show the discount factor can be generically identified jointly with the payoff parameters. It is known the payoff function cannot non-parametrically 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 non-parametrically 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 from Ryan (2012).
Book Synopsis Identification of Semiparametric Discrete Choice Models by : T. Scott Thompson
Download or read book Identification of Semiparametric Discrete Choice Models written by T. Scott Thompson and published by . This book was released on 1989 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Dynamic Discrete Choice Models in Continuous Time by : Peter Arcidiacono
Download or read book Estimation of Dynamic Discrete Choice Models in Continuous Time written by Peter Arcidiacono and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a method for estimating large-scale dynamic discrete choice models within a continuous time framework. An advantage of our model is that state changes occur sequentially, rather than simultaneously, avoiding a substantial curse of dimensionality that arises in multi-agent settings. Eliminating this computational bottleneck is the key to providing a seamless link between estimating the model and performing post-estimation counterfactuals. While recently developed two-step estimation techniques have made it possible to estimate large-scale problems, solving for equilibria remains computationally challenging. By modeling decisions in continuous time, we are able to take advantage of the recent advances in estimation while preserving a tight link between estimation and policy experiments. We address the most commonly encountered situation in empirical work in which only discrete-time data are available and the actual sequence of events that occur between two points in time is unobserved. We apply our techniques to examine the effects of Walmart's entry into the retail grocery industry, showing that even the threat of entry by Walmart has a substantial effect on market structure.
Book Synopsis Another Look at the Identification of Dynamic Discrete Decision Processes by : Victor Aguirregabiria
Download or read book Another Look at the Identification of Dynamic Discrete Decision Processes written by Victor Aguirregabiria and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an econometric approach to estimate the behavioral effects of counterfactual policy experiments in the context of dynamic decision models where the current utility function and the distribution of unobservables are nonparametrically specified. Previous studies have shown that the identification of the current utility function in dynamic decision models requires of stronger assumptions than in static decision models. We show in this paper that knowledge of the current utility function (or of a normalized utility function) is not necessary to identify counterfactual choice probabilities in dynamic models. To identify these counterfactuals we need the probability distribution of the unobservables and the difference between the present value of choosing always the same alternative and the present value of deviating one period from this strategy. We show that both functions are identified from the factual choice probabilities under similar conditions as in static decision models. Based on this result we propose a nonparametric procedure to estimate the behavioral effects of counterfactual experiments in dynamic decision models. We apply this method to evaluate the effects of an investment subsidy program in the context of a model of machine replacement.
Book Synopsis Applied Discrete-choice Modelling by : David A. Hensher
Download or read book Applied Discrete-choice Modelling written by David A. Hensher and published by Taylor & Francis. This book was released on 1981 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonparametric Identification of Discrete Choice Models by : John K. Dagsvik
Download or read book Nonparametric Identification of Discrete Choice Models written by John K. Dagsvik and published by . This book was released on 1998 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identification in Some Discrete Choice Models by : Eric Mbakop
Download or read book Identification in Some Discrete Choice Models written by Eric Mbakop and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new computational method that generates all the conditional moment inequalities that characterize the identified set of the parametric components of several semi- parametric panel data models of discrete choice. I consider very flexible models that only impose weak distributional restrictions on the joint distribution of the covariates, fixed effects and shocks. By exploiting the discreteness and convexity of the problem, I show that the identified set of the parametric component of the model can be characterized from the extreme points of a polytope which I describe explicitly. A direct implication of this observation is that finding all the inequalities that characterize the sharp identified set can be viewed as a purely computational problem, and any algorithm that can retrieve all the extreme points of our polytopes recovers all the inequality restrictions that characterize the identified set. The determination of all the extreme points of a polytope is a computational difficult task, and I exploit the particular structure the polytopes that occur in discrete choice models to propose an algorithm that works well for problems of moderate size. The algorithm is used to re-derive many known results: The algorithm can, for instance, recover all the conditional moment inequalities that were found in Manski 1987, Pakes and Porter 2021 and Khan, Ponomareva, and Tamer 2021. I also use the algorithm to generate some new conditional moment inequalities under alternative distributional assumptions, as well to generate new inequalities in some cases that were left open in Pakes and Porter 2021 and Khan, Ponomareva, and Tamer 2021.
Book Synopsis Essays on Dynamic Discrete Choice Models by : Eliza Da Silva Gomes
Download or read book Essays on Dynamic Discrete Choice Models written by Eliza Da Silva Gomes and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
