Joint analysis of the discount factor and payoff parameters in dynamic discrete choice models

• 成果类型: Article
• 署名作者: Komarova, Tatiana; Sanches, Fabio; Silva, Daniel, Jr.; Srisuma, Sorawoot
• 署名单位: University of London; London School Economics & Political Science; Pontificia Universidade Catolica do Rio de Janeiro; City St Georges, University of London; University of Surrey
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE675
• 发表日期: 2018
• 页码: 1153-1194
• 关键词: Discount factor; dynamic discrete choice problem; identification; estimation; switching costs

摘要

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 (2012).